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AuthorKarlsruher Ökonometrie-Workshop (8th : 2002)
TitleCredit risk : measurement, evaluation, and management / Georg Bol, edotors ... [et al.]
Imprint New York : Physica-Verlag, c2003
Descript x, 333 p. : ill. ; 24 cm


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 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

Credit -- Mathematical models -- Congresses Risk management -- Congresses

Sasin Library332.7 K18C 2003CHECK SHELVES

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