Search Results for: an introduction to credit risk modeling

An Introduction To Credit Risk Modeling

An Introduction to Credit Risk Modeling PDF
Author: Christian Bluhm
Publisher: CRC Press
Size: 68.65 MB
Format: PDF, Kindle
Category : Mathematics
Languages : en
Pages : 297
View: 1451

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An Introduction To Credit Risk Modeling Book Description

by Christian Bluhm, An Introduction To Credit Risk Modeling Books available in PDF, EPUB, Mobi Format. Download An Introduction To Credit Risk Modeling books, In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques. An Introduction to Credit Risk Modeling supplies both the bricks and the mortar of risk management. In a gentle and concise lecture-note style, it introduces the fundamentals of credit risk management, provides a broad treatment of the related modeling theory and methods, and explores their application to credit portfolio securitization, credit risk in a trading portfolio, and credit derivatives risk. The presentation is thorough but refreshingly accessible, foregoing unnecessary technical details yet remaining mathematically precise. Whether you are a risk manager looking for a more quantitative approach to credit risk or you are planning a move from the academic arena to a career in professional credit risk management, An Introduction to Credit Risk Modeling is the book you've been looking for. It will bring you quickly up to speed with information needed to resolve the questions and quandaries encountered in practice.


Introduction To Credit Risk Modeling Second Edition

Introduction to Credit Risk Modeling  Second Edition PDF
Author: Christian Bluhm
Publisher: CRC Press
Size: 75.76 MB
Format: PDF, Mobi
Category : Mathematics
Languages : en
Pages : 384
View: 2618

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Introduction To Credit Risk Modeling Second Edition Book Description

by Christian Bluhm, Introduction To Credit Risk Modeling Second Edition Books available in PDF, EPUB, Mobi Format. Download Introduction To Credit Risk Modeling Second Edition books, Contains Nearly 100 Pages of New Material The recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model credit portfolios, Introduction to Credit Risk Modeling, Second Edition presents updates on model developments that have occurred since the publication of the best-selling first edition. New to the Second Edition An expanded section on techniques for the generation of loss distributions Introductory sections on new topics, such as spectral risk measures, an axiomatic approach to capital allocation, and nonhomogeneous Markov chains Updated sections on the probability of default, exposure-at-default, loss-given-default, and regulatory capital A new section on multi-period models Recent developments in structured credit The financial crisis illustrated the importance of effectively communicating model outcomes and ensuring that the variation in results is clearly understood by decision makers. The crisis also showed that more modeling and more analysis are superior to only one model. This accessible, self-contained book recommends using a variety of models to shed light on different aspects of the true nature of a credit risk problem, thereby allowing the problem to be viewed from different angles.


Credit Risk Modeling Using Excel And Vba

Credit Risk Modeling using Excel and VBA PDF
Author: Gunter Löeffler
Publisher: John Wiley & Sons
Size: 28.11 MB
Format: PDF, ePub, Mobi
Category : Business & Economics
Languages : en
Pages : 358
View: 2007

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Credit Risk Modeling Using Excel And Vba Book Description

by Gunter Löeffler, Credit Risk Modeling Using Excel And Vba Books available in PDF, EPUB, Mobi Format. Download Credit Risk Modeling Using Excel And Vba books, It is common to blame the inadequacy of credit risk models for the fact that the financial crisis has caught many market participants by surprise. On closer inspection, though, it often appears that market participants failed to understand or to use the models correctly. The recent events therefore do not invalidate traditional credit risk modeling as described in the first edition of the book. A second edition is timely, however, because the first dealt relatively briefly with instruments featuring prominently in the crisis (CDSs and CDOs). In addition to expanding the coverage of these instruments, the book will focus on modeling aspects which were of particular relevance in the financial crisis (e.g. estimation error) and demonstrate the usefulness of credit risk modelling through case studies. This book provides practitioners and students with an intuitive, hands-on introduction to modern credit risk modelling. Every chapter starts with an explanation of the methodology and then the authors take the reader step by step through the implementation of the methods in Excel and VBA. They focus specifically on risk management issues and cover default probability estimation (scoring, structural models, and transition matrices), correlation and portfolio analysis, validation, as well as credit default swaps and structured finance. The book has an accompanying website, http://loeffler-posch.com/, which has been specially updated for this Second Edition and contains slides and exercises for lecturers.


Managing Bank Risk

Managing Bank Risk PDF
Author: Morton Glantz
Publisher: Academic Press
Size: 15.40 MB
Format: PDF, ePub, Mobi
Category : Business & Economics
Languages : en
Pages : 667
View: 7063

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Managing Bank Risk Book Description

by Morton Glantz, Managing Bank Risk Books available in PDF, EPUB, Mobi Format. Download Managing Bank Risk books, Featuring new credit engineering tools, Managing Bank Risk combines innovative analytic methods with traditional credit management processes. Professor Glantz provides print and electronic risk-measuring tools that ensure credits are made in accordance with bank policy and regulatory requirements, giving bankers with the data necessary for judging asset quality and value. The book's two sections, "New Approaches to Fundamental Analysis" and "Credit Administration," show readers ways to assimilate new tools, such as credit derivatives, cash flow computer modeling, distress prediction and workout, interactive risk rating models, and probabilistic default screening, with well-known controls. By following the guidelines of the Basel Committee on Banking Supervision, Managing Bank Risk offers useful models, programs, and documents essential for creating a sound credit risk environment, credit granting processes, and appropriate administrative and monitoring controls. Key Features * Book includes features such as: * Chapter-concluding questions * Case studies illustrating all major tools * EDF™ Credit Measure provided by KMV, the world's leading provide of market-based quantitative credit risk products * Library of internet links directs readers to information on evolving credit disciplines, such as portfolio management, credit derivatives, risk rating, and financial analysis * CD-ROM containing interactive models and a useful document collection * Credit engineering tools covered include: * Statistics and simulation driven forecasting * Risk adjusted pricing * Credit derivatives * Ratios * Cash flow computer modeling * Distress prediction and workouts * Capital allocation * Credit exposure systems * Computerized loan pricing * Sustainable growth * Interactive risk rating models * Probabilistc default screening * Accompanying CD includes: * Interactive 10-point risk rating model * Comprehensive cash flow model * Trial version of CB Pro, a time-series forecasting program * Stochastic net borrowed funds pricing model * Asset based lending models, courtesy Federal Reserve Bank * The Uniform Financial Institutions Rationg System (CAMELS) * Two portfolio optimization software models * a library of documents from the International Swap Dealers Association, the Basel Committee on Banking Supervision, and others


Creditrisk In The Banking Industry

CreditRisk  in the Banking Industry PDF
Author: Matthias Gundlach
Publisher: Springer Science & Business Media
Size: 10.46 MB
Format: PDF, Mobi
Category : Business & Economics
Languages : en
Pages : 369
View: 4687

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Creditrisk In The Banking Industry Book Description

by Matthias Gundlach, Creditrisk In The Banking Industry Books available in PDF, EPUB, Mobi Format. Download Creditrisk In The Banking Industry books, CreditRisk+ is a widely implemented default-mode model of portfolio credit risk, based on a methodology borrowed from actuarial mathematics. This book gives an account of the status quo as well as of new and recent developments of the credit risk model CreditRisk+, which is widely used in the banking industry. It gives an introduction to the model itself and to its ability to describe, manage and price credit risk. This timely book will be an indispensable tool.


Credit Risk Modeling Valuation And Hedging

Credit Risk  Modeling  Valuation and Hedging PDF
Author: Tomasz R. Bielecki
Publisher: Springer Science & Business Media
Size: 44.85 MB
Format: PDF, ePub, Mobi
Category : Business & Economics
Languages : en
Pages : 501
View: 1124

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Credit Risk Modeling Valuation And Hedging Book Description

by Tomasz R. Bielecki, Credit Risk Modeling Valuation And Hedging Books available in PDF, EPUB, Mobi Format. Download Credit Risk Modeling Valuation And Hedging books, The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.


An Introduction To Exotic Option Pricing

An Introduction to Exotic Option Pricing PDF
Author: Peter Buchen
Publisher: CRC Press
Size: 70.94 MB
Format: PDF, ePub, Mobi
Category : Mathematics
Languages : en
Pages : 296
View: 879

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An Introduction To Exotic Option Pricing Book Description

by Peter Buchen, An Introduction To Exotic Option Pricing Books available in PDF, EPUB, Mobi Format. Download An Introduction To Exotic Option Pricing books, In an easy-to-understand, nontechnical yet mathematically elegant manner, An Introduction to Exotic Option Pricing shows how to price exotic options, including complex ones, without performing complicated integrations or formally solving partial differential equations (PDEs). The author incorporates much of his own unpublished work, including ideas and techniques new to the general quantitative finance community. The first part of the text presents the necessary financial, mathematical, and statistical background, covering both standard and specialized topics. Using no-arbitrage concepts, the Black–Scholes model, and the fundamental theorem of asset pricing, the author develops such specialized methods as the principle of static replication, the Gaussian shift theorem, and the method of images. A key feature is the application of the Gaussian shift theorem and its multivariate extension to price exotic options without needing a single integration. The second part focuses on applications to exotic option pricing, including dual-expiry, multi-asset rainbow, barrier, lookback, and Asian options. Pushing Black–Scholes option pricing to its limits, the author introduces a powerful formula for pricing a class of multi-asset, multiperiod derivatives. He gives full details of the calculations involved in pricing all of the exotic options. Taking an applied mathematics approach, this book illustrates how to use straightforward techniques to price a wide range of exotic options within the Black–Scholes framework. These methods can even be used as control variates in a Monte Carlo simulation of a stochastic volatility model.


Credit Risk Modeling With Affine Processes

Credit risk modeling with affine processes PDF
Author: Darrel Duffie
Publisher: Edizioni della Normale
Size: 48.97 MB
Format: PDF
Category : Mathematics
Languages : en
Pages : 58
View: 3616

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Credit Risk Modeling With Affine Processes Book Description

by Darrel Duffie, Credit Risk Modeling With Affine Processes Books available in PDF, EPUB, Mobi Format. Download Credit Risk Modeling With Affine Processes books, This is a written version of the Cattedra Galileiana lectures, presented in 2002 at the Scuola Normale in Pisa. The objective is to combine an orientation to credit-risk modeling (emphasizing the valuation of corporate debt and credit derivatives) with an introduction to the analytical tractability and richness of affine state processes. This is not a general survey of either topic, but rather is designed to introduce researchers with some background in mathematics to a useful set of modeling techniques and an interesting set of applications.


Framework For

Framework for PDF
Author: Brian Coyle
Publisher: Global Professional Publishi
Size: 49.49 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 140
View: 777

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Framework For Book Description

by Brian Coyle, Framework For Books available in PDF, EPUB, Mobi Format. Download Framework For books, Topics include: � Establishing overall corporate goals for credit worthiness � Credit risk modeling � Integrating credit risk management with operating systems � Sample exercises and case studies


Credit Risk Modeling

Credit Risk Modeling PDF
Author: David Lando
Publisher: Princeton University Press
Size: 44.34 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 328
View: 4409

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Credit Risk Modeling Book Description

by David Lando, Credit Risk Modeling Books available in PDF, EPUB, Mobi Format. Download Credit Risk Modeling books, Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.