Ebook: Introduction to Credit Risk Modeling, Second Edition
Author: Bluhm Christian, Overbeck Ludger, Wagner Christoph
- Tags: Credit -- Management -- Mathematical models. Risk management -- Mathematical models.
- Series: Chapman & Hall/CRC financial mathematics series
- Year: 2010
- Publisher: CRC Press
- City: Hoboken
- Edition: 2nd ed
- Language: English
- pdf
The Basics of Credit Risk Management Expected Loss Unexpected Loss Regulatory Capital and the Basel InitiativeModeling Correlated Defaults The Bernoulli Model The Poisson Model Bernoulli versus Poisson Mixture An Overview of Common Model Concepts One-Factor/Sector Models Loss Dependence by Means of Copula FunctionsWorking Example on Asset Correlations Generating the Portfolio Loss DistributionAsset Value Models Read more...
Abstract: The Basics of Credit Risk Management Expected Loss Unexpected Loss Regulatory Capital and the Basel InitiativeModeling Correlated Defaults The Bernoulli Model The Poisson Model Bernoulli versus Poisson Mixture An Overview of Common Model Concepts One-Factor/Sector Models Loss Dependence by Means of Copula FunctionsWorking Example on Asset Correlations Generating the Portfolio Loss DistributionAsset Value Models Introduction and a Brief Guide to the Literature A Few Words about Calls and Puts Merton's Asset Value Model Transforming Equity into Asset Values: A Working ApproachThe CreditRisk+ Mod