Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP) / / Kexue Liu, Jean Salvati, Renzo Avesani, Alin Mirestean |
Autore | Liu Kexue |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
Descrizione fisica | 1 online resource (35 p.) |
Altri autori (Persone) |
SalvatiJean
AvesaniRenzo MiresteanAlin |
Collana | IMF Working Papers |
Soggetto topico |
Credit - Management - Mathematical models
Financial services industry - State supervision Banks and Banking Econometrics Money and Monetary Policy Portfolio Choice Investment Decisions Financial Institutions and Services: General Banks Depository Institutions Micro Finance Institutions Mortgages Mathematical Methods and Programming: General Computational Techniques Monetary Policy, Central Banking, and the Supply of Money and Credit: General Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill Monetary economics Econometrics & economic statistics Financial services law & regulation Credit Vector autoregression Credit risk Financial risk management |
ISBN |
1-4623-6191-9
1-4527-6528-6 1-283-51160-6 1-4519-0915-2 9786613824059 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
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"" |
Record Nr. | UNINA-9910788414803321 |
Liu Kexue
![]() |
||
Washington, D.C. : , : International Monetary Fund, , 2006 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|
Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP) / / Kexue Liu, Jean Salvati, Renzo Avesani, Alin Mirestean |
Autore | Liu Kexue |
Edizione | [1st ed.] |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
Descrizione fisica | 1 online resource (35 p.) |
Altri autori (Persone) |
SalvatiJean
AvesaniRenzo MiresteanAlin |
Collana | IMF Working Papers |
Soggetto topico |
Credit - Management - Mathematical models
Financial services industry - State supervision Banks and Banking Econometrics Money and Monetary Policy Portfolio Choice Investment Decisions Financial Institutions and Services: General Banks Depository Institutions Micro Finance Institutions Mortgages Mathematical Methods and Programming: General Computational Techniques Monetary Policy, Central Banking, and the Supply of Money and Credit: General Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill Monetary economics Econometrics & economic statistics Financial services law & regulation Credit Vector autoregression Credit risk Financial risk management |
ISBN |
1-4623-6191-9
1-4527-6528-6 1-283-51160-6 1-4519-0915-2 9786613824059 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
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"" |
Record Nr. | UNINA-9910821249203321 |
Liu Kexue
![]() |
||
Washington, D.C. : , : International Monetary Fund, , 2006 | ||
![]() | ||
Lo trovi qui: Univ. Federico II | ||
|