01011nam0 2200241 450 00000688920060328110645.088-760-7007-920060328d2004----km-y0itay50------baitaITy-------001yy<<I >>loci publici dal I al III secolole identificazioni dottrinali, il ruolo dell'usus, gli strumenti di tutelaNicola De MarcoNapoliSatura2004VIII, 210 p.24 cmPubblicazioni del Dipartimento di diritto romano e storia della scienza romanistica dell'Università degli studi di Napoli Federico II00192001Pubblicazioni del Dipartimento di diritto romano e storia della scienza romanistica dell'Università degli studi di Napoli Federico IIDe Marco,Nicola497010ITUNIPARTHENOPE20060328RICAUNIMARC000006889A-0048563NAVA3Loci publici dal I al III Secolo754390UNIPARTHENOPE07096oam 22017294 450 991097247080332120251116183933.0978661382907897814623306211462330622978145276224114527622449781283516624128351662497814519099681451909969(CKB)3360000000443833(EBL)3012542(SSID)ssj0000948582(PQKBManifestationID)11484547(PQKBTitleCode)TC0000948582(PQKBWorkID)10950156(PQKB)10727647(OCoLC)535146946(MiAaPQ)EBC3012542(IMF)WPIEE2006283(IMF)WPIEA2006283WPIEA2006283(EXLCZ)99336000000044383320020129d2006 uf 0engurcn|||||||||txtccrPortfolio Credit Risk and Macroeconomic Shocks : Applications to Stress Testing Under Data-Restricted Environments /Miguel Segoviano1st ed.Washington, D.C. :International Monetary Fund,2006.1 online resource (52 p.)IMF Working Papers"December 2006."9781451865431 1451865430 Includes bibliographical references (p. 45-50).""Contents""; ""I. INTRODUCTION""; ""II. PORTFOLIO CREDIT RISK""; ""III. PROPOSAL TO IMPROVE PORTFOLIO CREDIT RISK MEASUREMENT""; ""IV. PROPOSED PROCEDURE FOR STRESS TESTING""; ""V. STRESS TESTING: EMPIRICAL IMPLEMENTATION IN DENMARK""; ""VI. ANALYSIS OF STRESS TESTING RESULTS""; ""VII. CONCLUSIONS""; ""Appendix 1: Entropy in a Nutshell""; ""References""Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on credit risk. Aiming to improve the measurement of portfolio credit risk, we propose the joint implementation of two new methodologies, namely the conditional probability of default (CoPoD) methodology and the consistent information multivariate density optimizing (CIMDO) methodology. CoPoD incorporates the effects of macroeconomic shocks into credit risk, recovering robust estimators when only short time series of loans exist. CIMDO recovers portfolio multivariate distributions (on which portfolio credit risk measurement relies) with improved specifications, when only partial information about borrowers is available. Implementation is straightforward and can be very useful in stress testing exercises (STEs), as illustrated by the STE carried out within the Danish Financial Sector Assessment Program.IMF Working Papers; Working Paper ;No. 2006/283RiskBank investmentsBank loansBank capitalAsset and liability managementimfAsset valuationimfAsset-liability managementimfBankingimfBanks and BankingimfBanks and bankingimfBanksimfBusiness FluctuationsimfCapital and Ownership StructureimfCredit riskimfCreditimfCyclesimfDepository InstitutionsimfDynamic AnalysisimfEconometric and Statistical Methods: OtherimfFinanceimfFinance: GeneralimfFinancial Institutions and Services: Government Policy and RegulationimfFinancial institutionsimfFinancial regulation and supervisionimfFinancial Risk and Risk ManagementimfFinancial Risk ManagementimfFinancial risk managementimfFinancial sector policy and analysisimfFinancial services law & regulationimfFinancing PolicyimfGoodwillimfIndustries: Financial ServicesimfInternational Financial MarketsimfLoansimfMathematical MethodsimfMicro Finance InstitutionsimfModel Evaluation and SelectionimfMonetary economicsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfMoney and Monetary PolicyimfMoneyimfMortgagesimfOptimization TechniquesimfProgramming ModelsimfStress testingimfValue of FirmsimfDenmarkimfRisk.Bank investments.Bank loans.Bank capital.Asset and liability managementAsset valuationAsset-liability managementBankingBanks and BankingBanks and bankingBanksBusiness FluctuationsCapital and Ownership StructureCredit riskCreditCyclesDepository InstitutionsDynamic AnalysisEconometric and Statistical Methods: OtherFinanceFinance: GeneralFinancial Institutions and Services: Government Policy and RegulationFinancial institutionsFinancial regulation and supervisionFinancial Risk and Risk ManagementFinancial Risk ManagementFinancial risk managementFinancial sector policy and analysisFinancial services law & regulationFinancing PolicyGoodwillIndustries: Financial ServicesInternational Financial MarketsLoansMathematical MethodsMicro Finance InstitutionsModel Evaluation and SelectionMonetary economicsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralMoney and Monetary PolicyMoneyMortgagesOptimization TechniquesProgramming ModelsStress testingValue of FirmsSegoviano Miguel1815600International Monetary Fund.Monetary and Capital Markets Department.DcWaIMFBOOK9910972470803321Portfolio Credit Risk and Macroeconomic Shocks4372647UNINA