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eISBN : 9781400829415

Sommaire : Preface

1. Introduction
1.1 Market Risk and Individual Risk
1.2 Risk Variable
1.3 Scores
1.4 Organization of the Book

2. Dichotomous Risk
2.1 Risk Prediction and Segmentation
2.2 Econometric Models
2.3 Risk Heterogeneity
2.4 Concluding Remarks
2.5 Appendix: The Logistic Distribution

3. Estimation
3.1 Estimation Methods
3.2 Significance Tests
3.3 Implementation
3.4 Concluding Remarks

4. Score Performance
4.1 Performance and Selection Curves
4.2 Discriminant Curves
4.3 Demand Monitoring, Credit Granting, and Scores
4.4 Concluding Remarks
4.5 Appendix: Positive Dependence

5. Count Data Models
5.1 Poisson Regression
5.2 The Negative-Binomial Regression
5.3 Semi-Parametric Analysis
5.4 Applications
5.5 Concluding Remarks

6. Durations
6.1 Duration Distributions
6.2 Duration Models
6.3 Semi-Parametric Models
6.4 Applications
6.5 Concluding Remarks
6.6 Appendix

7. Endogenous Selection and Partial Observability
7.1 Analysis of Dichotomous Risks from a Stratified Sample
7.2 Truncation and Censoring in Duration Models
7.3 Bias Correction Using Rejected Credit Applications
7.4 Concluding Remarks
7.5 Appendix: First-Order Expansion of the C.D.F. Of a Bivariate Normal Distribution

8. Transition Models
8.1 Homogeneous Markov Chains
8.2 Explanatory Variables
8.3 Transitions between Score Categories
8.4 Concluding Remarks

9. Multiple Scores
9.1 Examples
9.2 Profit- (Utility-) Optimizing Decisions
9.3 Multi-Score Reduction Technique
9.4 Household Portfolio Allocation
9.5 Concluding Remarks

10. Serial Dependence in Longitudinal Data
10.1 Poisson and Compound Poisson Processes
10.2 Models with Serial Dependence
10.3 Applications
10.4 Concluding Remarks
10.5 Appendix: Distributions of the Duration and Count Variables

11. Management of Credit Risk
11.1 Measures of Risk and Capital Requirement
11.2 Credit Portfolio
11.3 Corporate Bond Portfolio
11.4 Concluding Remarks

Index

Langue : Anglais

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque