|
|
|
|
|
|
|
|
1. |
Record Nr. |
UNINA9910464563703321 |
|
|
Autore |
Avesani Renzo G |
|
|
Titolo |
Review and implementation of credit risk models of the financial sector assessment program (FSAP) [[electronic resource] /] / prepared by Renzo G. Avesani ...[et. al] |
|
|
|
|
|
|
|
Pubbl/distr/stampa |
|
|
[Washington, D.C.], : International Monetary Fund, 2006 |
|
|
|
|
|
|
|
ISBN |
|
1-4623-6191-9 |
1-4527-6528-6 |
1-283-51160-6 |
1-4519-0915-2 |
9786613824059 |
|
|
|
|
|
|
|
|
Descrizione fisica |
|
1 online resource (35 p.) |
|
|
|
|
|
|
Collana |
|
IMF working paper ; ; WP/06/134 |
|
|
|
|
|
|
Soggetti |
|
Credit - Management - Mathematical models |
Financial services industry - State supervision |
Electronic books. |
|
|
|
|
|
|
|
|
Lingua di pubblicazione |
|
|
|
|
|
|
Formato |
Materiale a stampa |
|
|
|
|
|
Livello bibliografico |
Monografia |
|
|
|
|
|
Note generali |
|
|
|
|
|
|
Nota di bibliografia |
|
Includes bibliographical references. |
|
|
|
|
|
|
Nota di contenuto |
|
""Contents""; ""I. INTRODUCTION""; ""II. THE BASIC MODEL SETTING""; ""III. MODEL 1: A SIMPLE MODEL WITH NON-RANDOM DEFAULT PROBABILITIES""; ""IV. INTRODUCING THE POISSON APPROXIMATION""; ""V. MODEL 2: THE MODEL WITH KNOWN PROBABILITIES REVISITED""; ""VI. MODEL 3: THE MODEL WITH RANDOM DEFAULT PROBABILITIES""; ""VII. THE LATENT FACTORS ASSUMPTION""; ""VIII. MODEL 4: EXTENSION OF CREDIT RISK+ WITH CORRELATED FACTORS""; ""IX. MODEL SUMMARY""; ""X. NUMERICAL IMPLEMENTATION""; ""XI. NUMERICAL EXAMPLES USING THE CREDIT RISK TOOLBOX""; ""XII. CONCLUSION"" |
""PROBABILITY AND MOMENT GENERATING FUNCTIONS""""References"" |
|
|
|
|
|
|
|