Credit Risk: Measurement, Evaluation and Management by Georg BolCredit Risk: Measurement, Evaluation and Management by Georg Bol

Credit Risk: Measurement, Evaluation and Management

byGeorg BolEditorGholamreza Nakhaeizadeh, Svetlozar T. Rachev

Paperback | May 22, 2003

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New developments in measuring, evaluating and managing credit risk are discussed in this volume. Addressing both practitioners in the banking sector and resesarch institutions, the book provides a manifold view on one of the most-discussed topics in finance. Among the subjects treated are important issues, such as: the consequences of the new Basel Capital Accord (Basel II), different applications of credit risk models, and new methodologies in rating and measuring credit portfolio risk. The volume provides an overview of recent developments as well as future trends: a state-of-the-art compendium in the area of credit risk.
Title:Credit Risk: Measurement, Evaluation and ManagementFormat:PaperbackDimensions:333 pagesPublished:May 22, 2003Publisher:Springer-Verlag/Sci-Tech/TradeLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:3790800546

ISBN - 13:9783790800548

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Table of Contents

Approaches to Credit Risk in the New Basel Capital Accord.-  Systematic Risk in Homogeneous Credit Portfolios.- Valuation of a Credit Default Swap: The Stable Non-Gaussian versus the Gaussian Approach.- Basel II in the DaimlerChrysler Bank.-  Sovereign Risk in a Structural Approach. Evaluating Sovereign Ability-to-Pay and Probability of Default.- An Extreme Analysis of VaRs for Emerging Market Benchmark Bonds.-  Default Probabilities in Structured Commodity Finance.-  Kendall's Tau for Elliptical Distributions.- Exploring Credit Data.- Stable Non-Gaussian Credit Risk Model; The Cognity Approach.- An Application of the Credit Risk Model.-  Internal Ratings for Corporate Clients.- Finding Constrained Downside Risk-Return Efficient Credit Portfolio Structures Using Hybrid Multi-Objective Evolutionary Computation.- Credit Risk Modelling and Estimation via Elliptical Copulae.- Credit Risk Models in Practice - a Review.