Link to the ebook : https://search-ebscohost-com.ezproxy.univ-catholille.fr/logi...

eISBN : 9780471274766

Contents : Contents
List of Abbreviations
Chapitre 1 Why New Approaches to Credit Risk Measurement and Management?
Chapitre 2 Traditional Approaches to Credit Risk Measurement
Chapitre 3 The BIS Basel International Bank Capital Accord: January 2002
Chapitre 4 Loans as Options: The KMV and Moody's Models
Chapitre 5 Reduced Form Models: KPMG's Loan Analysis System and Kamakura's Risk Manager
Chapitre 6 The VAR Approach: CreditMetrics and Other Models
Chapitre 7 The Macro Simulation Approach: The CreditPortfolio View Model and Other Models
Chapitre 8 The Insurance Approach: Mortality Models and the CSFP Credit Risk Plus Model
Chapitre 9 A Summary and Comparison of New Internal Model Approaches
Chapitre 10 Overview of Modern Portfolio Theory and its Application to Loan Portfolios
Chapitre 11 Loan Portfolio Selection and Risk Measurement
Chapitre 12 Stress Testing Credit Risk Models: Algorithmics Mark-to-Future
Chapitre 13 Risk-Adjusted Return on Capital Models
Chapitre 14 Off-Balance-Sheet Credit Risk
Chapitre 15 Credit Derivatives
Bibliography
Notes

Language : English

Place of publishing : TORONTO

Location : Nice Library

Material : Electronic

Statement : Présent

Owner : Bibliothèque