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 |
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
