Credit risk models and the Basel Accords /

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Bibliographic Details
Author / Creator:Deventer, Donald R. van, 1951-
Imprint:Singapore ; Hoboken, NJ : John Wiley & Sons (Asia), 2003.
Description:270 p. : ill. ; 24 cm.
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
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Other authors / contributors:Imai, Kenji, 1963-
Notes:Includes bibliographical references and index.
Table of Contents:
  • Introduction
  • 1. The Objectives of the Credit Risk Process
  • 2. The Asian Crisis: Lessons for Maximizing Risk-adjusted Shareholder Value
  • 3. The Evolution of Credit Modeling Techniques
  • 4. Credit Risk Models: The Impact of Macro Factors on the Risk of Default
  • 5. Internal Ratings and Approaches to Testing Credit Models
  • 6. Tests of Credit Models using Historical Default Data
  • 7. Market Data Tests of Credit Models: Lessons from Enron and Other Case Studies
  • 8. Out of Sample Testing of Credit Models
  • 9. Implications of the Tests for the Basel Accords and Management of Financial Institutions
  • 10. Measuring Safety and Soundness and Capital Allocation Using the Merton and Reduced Form Models
  • 11. Impact of Collateral on Valuation Models
  • 12. Pricing and Valuing Revolving Credit and Other Loan Agreements
  • 13. Credit Derivatives and Collateralized Debt Obligations
  • 14. Future Developments in Credit Modeling
  • Index