Title: Credit risk : measurement, evaluation and management
Abstract: 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 CreditRisk+ Model.- Internal Ratings for Corporate Clients.- Finding Constrained Downside Risk-Return Efsscient Credit Portfolio Structures Using Hybrid Multi-Objective Evolutionary Computation.- Credit Risk Modelling and Estimation via Elliptical Copulae.- Credit Risk Models in Practice - a Review.- List of Authors.
Publication Year: 2003
Publication Date: 2003-01-01
Language: en
Type: book
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Cited By Count: 45
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