Credit risk models and the Basel Accords /
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| Author / Creator: | Deventer, Donald R. van, 1951- |
|---|---|
| Imprint: | Singapore ; Hoboken, NJ : John Wiley & Sons (Asia), 2003. |
| Description: | 270 p. : ill. ; 24 cm. |
| Language: | English |
| Series: | Wiley finance Wiley finance series. |
| Subject: | Credit -- Management -- Mathematical models. Risk management -- Mathematical models. Credit -- Management -- Mathematical models. Risk management -- Mathematical models. |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/5134558 |
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| 100 | 1 | |a Deventer, Donald R. van, |d 1951- |0 http://id.loc.gov/authorities/names/n96079098 |1 http://viaf.org/viaf/115476583 | |
| 245 | 1 | 0 | |a Credit risk models and the Basel Accords / |c Donald van Deventer & Kenji Imai. |
| 260 | |a Singapore ; |a Hoboken, NJ : |b John Wiley & Sons (Asia), |c 2003. | ||
| 300 | |a 270 p. : |b ill. ; |c 24 cm. | ||
| 336 | |a text |b txt |2 rdacontent |0 http://id.loc.gov/vocabulary/contentTypes/txt | ||
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| 490 | 1 | |a Wiley finance | |
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | 0 | |g Ch. 1. |t The Objectives of the Credit Risk Process -- |g Ch. 2. |t The Asian Crisis: Lessons for Maximizing Risk-adjusted Shareholder Value -- |g Ch. 3. |t The Evolution of Credit Modeling Techniques -- |g Ch. 4. |t Credit Risk Models: The Impact of Macro Factors on the Risk of Default -- |g Ch. 5. |t Internal Ratings and Approaches to Testing Credit Models -- |g Ch. 6. |t Tests of Credit Models using Historical Default Data -- |g Ch. 7. |t Market Data Tests of Credit Models: Lessons from Enron and Other Case Studies -- |g Ch. 8. |t Out of Sample Testing of Credit Models -- |g Ch. 9. |t Implications of the Tests for the Basel Accords and Management of Financial Institutions -- |g Ch. 10. |t Measuring Safety and Soundness and Capital Allocation Using the Merton and Reduced Form Models -- |g Ch. 11. |t Impact of Collateral on Valuation Models -- |g Ch. 12. |t Pricing and Valuing Revolving Credit and Other Loan Agreements -- |g Ch. 13. |t Credit Derivatives and Collateralized Debt Obligations -- |g Ch. 14. |t Future Developments in Credit Modeling. |
| 650 | 0 | |a Credit |x Management |x Mathematical models. | |
| 650 | 0 | |a Risk management |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh2008110811 | |
| 650 | 7 | |a Credit |x Management |x Mathematical models. |2 fast |0 http://id.worldcat.org/fast/fst00882539 | |
| 650 | 7 | |a Risk management |x Mathematical models. |2 fast |0 http://id.worldcat.org/fast/fst01098179 | |
| 700 | 1 | |a Imai, Kenji, |d 1963- |0 http://id.loc.gov/authorities/names/n96080377 |1 http://viaf.org/viaf/38643939 | |
| 830 | 0 | |a Wiley finance series. |0 http://id.loc.gov/authorities/names/n00091597 | |
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