Review and implementation of credit risk models of the financial sector assessment program (FSAP) [[electronic resource] /] / prepared by Renzo G. Avesani ...[et. al]

• Autore: Avesani Renzo G
• Pubblicazione: [Washington, D.C.], : International Monetary Fund, 2006
• Descrizione fisica: 1 online resource (35 p.)
• Soggetto topico: Credit - Management - Mathematical models; Financial services industry - State supervision
• Soggetto genere / forma: Electronic books.
• Note generali: "May 2006."
• 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""
• Titolo autorizzato: Review and implementation of credit risk models of the financial sector assessment program (FSAP)
• 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: Inglese
• Record Nr.: 9910464563703321
• Lo trovi qui: Univ. Federico II
• Serie: IMF working paper ; ; WP/06/134.