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010   $a9786612843754
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035   $a(EBL)1608374
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100   $a20101016d2009      uf             0
101 0 $aeng
135   $aurcn|||||||||
181   $ctxt
182   $cc
183   $acr
200 10$aRecent advances in credit risk modeling$b[electronic resource] /$fprepared by Christian Capuano ... [et al.]
210   $aWashington, D.C. $cInternational Monetary Fund$dc2009
215   $a1 online resource (33 p.)
225 1 $aIMF working paper ;$vWP/09/162
300   $a"August 2009."
311   $a1-4519-1737-6 
320   $aIncludes bibliographical references.
327   $aContents; I. Introduction; II. Structural Models; A. Single-Issuer Default Risk; B. Distance-to-Default: Variations on a Theme; Figure; 1. Dah-Sing Bank: Distance-to-Default; C. Portfolio Credit Risk Models; III. Reduced-Form Models; A. Structural and Reduced-Form Models: Reconciliation Attempts; Boxes; 1. Compensators and Pricing Trends: Some Definitions-Elizalde (2006); B. Some Models; C. Nonlinear Filtering; 2. The Modeling Strategy of Frey, Schmidt, Gabih (2007); IV. Other Innovations in the Modeling of Credit Risk; A. Default Correlation Using Copulas and Other Recent Approaches
327   $aB. Pricing of Credit Index Options C. Distressed Debt Prices and Recovery Rate Estimation; V. Conclusions; Appendix; Filtration and the Pricing of Credit Index Options; References
330   $aAs is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worldwide have given new impetus to efforts to improve credit risk modeling for countries, corporations, financial institutions, and financial instruments. The paper summarizes some of the recent advances in this regard. It considers modifications of structural models, including of the classical Merton model, and efforts to reconcile the structural and the reduced-form models.
410  0$aIMF working paper ;$vWP/09/162.
606   $aCredit$xManagement$xMathematical models
606   $aRisk management
608   $aElectronic books.
615  0$aCredit$xManagement$xMathematical models.
615  0$aRisk management.
700   $aCapuano$b Christian$f1975-$0992872
701   $aCapuano$b Christian$f1975-$0992872
712 02$aInternational Monetary Fund.$bMonetary and Capital Markets Dept.
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910464003403321
996   $aRecent advances in credit risk modeling$92273585
997   $aUNINA