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Recent advances in credit risk modeling [[electronic resource] /] / prepared by Christian Capuano ... [et al.]
| Recent advances in credit risk modeling [[electronic resource] /] / prepared by Christian Capuano ... [et al.] |
| Autore | Capuano Christian <1975-> |
| Pubbl/distr/stampa | Washington, D.C., : International Monetary Fund, c2009 |
| Descrizione fisica | 1 online resource (33 p.) |
| Altri autori (Persone) | CapuanoChristian <1975-> |
| Collana | IMF working paper |
| Soggetto topico |
Credit - Management - Mathematical models
Risk management |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-7897-8
1-4527-8235-0 1-4518-7309-3 9786612843754 1-282-84375-3 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; 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
B. 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 |
| Record Nr. | UNINA-9910464003403321 |
Capuano Christian <1975->
|
||
| Washington, D.C., : International Monetary Fund, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Recent advances in credit risk modeling / / prepared by Christian Capuano ... [et al.]
| Recent advances in credit risk modeling / / prepared by Christian Capuano ... [et al.] |
| Autore | Capuano Christian <1975-> |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C., : International Monetary Fund, c2009 |
| Descrizione fisica | 1 online resource (33 p.) |
| Disciplina | 338.542 |
| Altri autori (Persone) | CapuanoChristian <1975-> |
| Collana | IMF working paper |
| Soggetto topico |
Credit - Management - Mathematical models
Risk management |
| ISBN |
1-4623-7897-8
1-4527-8235-0 1-4518-7309-3 9786612843754 1-282-84375-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; 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
B. 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 |
| Record Nr. | UNINA-9910828972603321 |
|
Capuano Christian <1975->
|
||
| Washington, D.C., : International Monetary Fund, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||