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" Credit risk : "


Document Type : BL
Record Number : 725478
Doc. No : b545197
Main Entry : Georg Bol ... eds.
Title & Author : Credit risk : : measurement, evaluation and management ; [on March 13th - 15th 2002, the 8th Econometric Workshop in Karlsruhe was held at the University of Karlsruhe (TH), Germany] ; with 85 figures\ Georg Bol ... eds.
Publication Statement : Heidelberg: Physica-Verl., 2003
Series Statement : Contributions to economics.
Page. NO : x, 333 Seiten : Diagramme.
ISBN : 3790800546
: : 9783790800548
Notes : Enth. 15 Beitr.
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 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.
Subject : Credit -- Congresses -- Mathematical models
Subject : Credit -- Mathematical models -- Congresses
Subject : Kreditrisiko -- Messung -- Risikomanagement -- Schätzung -- Theorie -- Welt.
Added Entry : Georg Bol
copyhttps://lib.clisel.com/site/catalogue/725478
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