Credit Risk Modelling: The Cutting-edge Collection - Technical Papers Published in Risk 1999-2003 - Rilegato

Gordy, Michael

Rilegato

ISBN 10: 1904339085 ISBN 13: 9781904339083

Casa editrice: Risk Books, 2003

Riassunto

This volume brings together the most innovative and instrumental papers on credit risk modelling to reflect the major developments to date. This volume also focuses on the influences that are currently shaping the industry. The book is designed to allow readers to easily familiarise themselves with all the leading authorities, ideas and techniques used in today's business. The papers are subdivided into easy-reference sections that include credit portfolio modelling and measurement; credit derivatives; default models and prediction; credit risk modelling in relation to Basel II. It is introduced by Michael Gordy, who illustrates the signince that each chapter has on modern credit practice It allows the reader to compare and contrast two different philosophies in credit risk modelling - "structural models" and "reduced-form models" The book covers the statistical and financial tools that lie behind credit risk theory and management in addition to offering a comprehensive treatment of the pricing of credit derivatives, including credit swaps and CDOs. It includes detailed analysis on the basic parameters that dominate credit risk modelling, such as default probabilities, credit ratings, rating transitions and recovery rates

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Product Description

Book by Gordy Michael

Dettagli dell'edizione

• Editore: Risk Books
• Data di pubblicazione: 2003
• Lingua: Inglese
• ISBN 10: 1904339085
• ISBN 13: 9781904339083
• Rilegatura: Copertina rigida
• Numero di pagine: 300
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile