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Credit risk analytics : measurement techniques, applications, and examples in SAS / / Bart Baesens, Daniel Rösch, Harald Scheule
| Credit risk analytics : measurement techniques, applications, and examples in SAS / / Bart Baesens, Daniel Rösch, Harald Scheule |
| Autore | Baesens Bart |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2016 |
| Descrizione fisica | 1 online resource (583 pages) |
| Disciplina | 332.10285/555 |
| Collana | Wiley & SAS Business Series |
| Soggetto topico |
Credit - Management - Data processing
Risk management - Data processing Bank loans - Data processing |
| ISBN |
1-119-44956-1
1-119-27834-1 1-119-27828-7 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910270943003321 |
Baesens Bart
|
||
| Hoboken, New Jersey : , : Wiley, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Credit risk analytics : measurement techniques, applications, and examples in SAS / / Bart Baesens, Daniel Rösch, Harald Scheule
| Credit risk analytics : measurement techniques, applications, and examples in SAS / / Bart Baesens, Daniel Rösch, Harald Scheule |
| Autore | Baesens Bart |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2016 |
| Descrizione fisica | 1 online resource (583 pages) |
| Disciplina | 332.10285/555 |
| Collana | Wiley & SAS Business Series |
| Soggetto topico |
Credit - Management - Data processing
Risk management - Data processing Bank loans - Data processing |
| ISBN |
1-119-44956-1
1-119-27834-1 1-119-27828-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910826919103321 |
|
Baesens Bart
|
||
| Hoboken, New Jersey : , : Wiley, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Credit securitisations and derivatives [[electronic resource] ] : challenges for the global markets / / Daniel Rosch, Harald Scheule
| Credit securitisations and derivatives [[electronic resource] ] : challenges for the global markets / / Daniel Rosch, Harald Scheule |
| Autore | Rosch Daniel |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | New York, : Wiley, 2013 |
| Descrizione fisica | 1 online resource (464 p.) |
| Disciplina |
332.6
332.7 |
| Altri autori (Persone) | ScheuleHarald |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Capital assets pricing model
Asset-backed financing - Europe |
| ISBN |
1-118-81850-4
1-299-46491-2 1-119-96604-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Credit Securitizations and Derivatives: Challenges for the Global Markets; Contents; Foreword; PART I INTRODUCTION; 1 Credit Securitizations and Derivatives; 1.1 Economic Cycles and Credit Portfolio Risk; 1.2 Credit Portfolio Risk Measurement; 1.3 Credit Portfolio Risk Tranching; 1.4 Credit Ratings; 1.5 Actuarial vs. Market Credit Risk Pricing; 1.6 Regulation; 1.7 Thank You; References; 2 Developments in Structured Finance Markets; 2.1 Impairments of Asset-Backed Securities and Outstanding Ratings; 2.2 Issuance of Asset-backed Securities and Outstanding Volume
2.3 Global CDO Issuance and Outstanding VolumeConcluding Remarks; Notes; References; PART II CREDIT PORTFOLIO RISK MEASUREMENT; 3 Mortgage Credit Risk; 3.1 Introduction; 3.2 Five ""C""s of Credit and Mortgage Credit Risk; 3.3 Determinants of Mortgage Default, Loss Given Default and Exposure at Default; 3.3.1 Determinants of Mortgage Default; 3.3.2 Determinants of Mortgage LGD; 3.3.3 Determinants of Mortgage EAD; 3.4 Modeling Methods for Default, LGD and EAD; 3.5 Model Risk Management; 3.6 Conclusions; References; 4 Credit Portfolio Correlations and Uncertainty; 4.1 Introduction 4.2 Gaussian and Semi-Gaussian Single Risk Factor Model4.3 Individual and Simultaneous Confidence Bounds and Intervals; 4.4 Confidence Intervals for Asset Correlations; 4.5 Confidence Intervals for Default and Survival Time Correlations; 4.5.1 Confidence Intervals for Default Correlations; 4.5.2 Confidence Intervals for Survival Time Correlations; 4.6 Example; 4.7 Conclusion; Appendix; Notes; References; 5 Credit Portfolio Correlations with Dynamic Leverage Ratios; 5.1 Introduction; 5.2 The Hui et al. (2007) Model; 5.2.1 The Method of Images for Constant Coefficients 5.2.2 The Method of Images for Time-Varying Coefficients5.3 Modelling Default Correlations in a Two-Firm Model; 5.3.1 Default Correlations; 5.3.2 A Two-Firm Model with Dynamic Leverage Ratios; 5.3.3 Method of Images for Constant Coefficients at Certain Values of £l12; 5.3.4 Method of Images for Time-Varying Coefficients at Certain Values of £l12; 5.3.5 Alternative Methodologies for General Values of £l12; 5.4 Numerical Results; 5.4.1 Accuracy; 5.4.2 The Impact of Correlation between Two Firms; 5.4.3 The Impact of Dfferent Credit Quality Paired Firms; 5.4.4 The Impact of Volatilities 5.4.5 The Impact of Drift Levels5.4.6 The Impact of Initial Value of Leverage Ratio Levels; 5.4.7 Impact of Correlation between Firms and Interest Rates; 5.4.8 The Price of Credit-Linked Notes; 5.5 Conclusion; Notes; References; 6 A Hierarchical Model of Tail-Dependent Asset Returns; 6.1 Introduction; 6.2 The Variance Compound Gamma Model; 6.2.1 Multivariate Process for Logarithmic Asset Returns; 6.2.2 Dependence Structure; 6.2.3 Sampling; 6.2.4 Copula Properties; 6.3 An Application Example; 6.3.1 Portfolio Setup; 6.3.2 Test Portfolios; 6.3.3 Parameter Setup; 6.3.4 Simulation Results 6.4 Importance Sampling Algorithm |
| Record Nr. | UNINA-9910139014503321 |
|
Rosch Daniel
|
||
| New York, : Wiley, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Credit securitisations and derivatives : challenges for the global markets / / Daniel Rosch, Harald Scheule
| Credit securitisations and derivatives : challenges for the global markets / / Daniel Rosch, Harald Scheule |
| Autore | Rosch Daniel |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | New York, : Wiley, 2013 |
| Descrizione fisica | 1 online resource (464 p.) |
| Disciplina |
332.6
332.7 |
| Altri autori (Persone) | ScheuleHarald |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Capital assets pricing model
Asset-backed financing - Europe |
| ISBN |
1-118-81850-4
1-299-46491-2 1-119-96604-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Credit Securitizations and Derivatives: Challenges for the Global Markets; Contents; Foreword; PART I INTRODUCTION; 1 Credit Securitizations and Derivatives; 1.1 Economic Cycles and Credit Portfolio Risk; 1.2 Credit Portfolio Risk Measurement; 1.3 Credit Portfolio Risk Tranching; 1.4 Credit Ratings; 1.5 Actuarial vs. Market Credit Risk Pricing; 1.6 Regulation; 1.7 Thank You; References; 2 Developments in Structured Finance Markets; 2.1 Impairments of Asset-Backed Securities and Outstanding Ratings; 2.2 Issuance of Asset-backed Securities and Outstanding Volume
2.3 Global CDO Issuance and Outstanding VolumeConcluding Remarks; Notes; References; PART II CREDIT PORTFOLIO RISK MEASUREMENT; 3 Mortgage Credit Risk; 3.1 Introduction; 3.2 Five ""C""s of Credit and Mortgage Credit Risk; 3.3 Determinants of Mortgage Default, Loss Given Default and Exposure at Default; 3.3.1 Determinants of Mortgage Default; 3.3.2 Determinants of Mortgage LGD; 3.3.3 Determinants of Mortgage EAD; 3.4 Modeling Methods for Default, LGD and EAD; 3.5 Model Risk Management; 3.6 Conclusions; References; 4 Credit Portfolio Correlations and Uncertainty; 4.1 Introduction 4.2 Gaussian and Semi-Gaussian Single Risk Factor Model4.3 Individual and Simultaneous Confidence Bounds and Intervals; 4.4 Confidence Intervals for Asset Correlations; 4.5 Confidence Intervals for Default and Survival Time Correlations; 4.5.1 Confidence Intervals for Default Correlations; 4.5.2 Confidence Intervals for Survival Time Correlations; 4.6 Example; 4.7 Conclusion; Appendix; Notes; References; 5 Credit Portfolio Correlations with Dynamic Leverage Ratios; 5.1 Introduction; 5.2 The Hui et al. (2007) Model; 5.2.1 The Method of Images for Constant Coefficients 5.2.2 The Method of Images for Time-Varying Coefficients5.3 Modelling Default Correlations in a Two-Firm Model; 5.3.1 Default Correlations; 5.3.2 A Two-Firm Model with Dynamic Leverage Ratios; 5.3.3 Method of Images for Constant Coefficients at Certain Values of £l12; 5.3.4 Method of Images for Time-Varying Coefficients at Certain Values of £l12; 5.3.5 Alternative Methodologies for General Values of £l12; 5.4 Numerical Results; 5.4.1 Accuracy; 5.4.2 The Impact of Correlation between Two Firms; 5.4.3 The Impact of Dfferent Credit Quality Paired Firms; 5.4.4 The Impact of Volatilities 5.4.5 The Impact of Drift Levels5.4.6 The Impact of Initial Value of Leverage Ratio Levels; 5.4.7 Impact of Correlation between Firms and Interest Rates; 5.4.8 The Price of Credit-Linked Notes; 5.5 Conclusion; Notes; References; 6 A Hierarchical Model of Tail-Dependent Asset Returns; 6.1 Introduction; 6.2 The Variance Compound Gamma Model; 6.2.1 Multivariate Process for Logarithmic Asset Returns; 6.2.2 Dependence Structure; 6.2.3 Sampling; 6.2.4 Copula Properties; 6.3 An Application Example; 6.3.1 Portfolio Setup; 6.3.2 Test Portfolios; 6.3.3 Parameter Setup; 6.3.4 Simulation Results 6.4 Importance Sampling Algorithm |
| Record Nr. | UNINA-9910808658903321 |
|
Rosch Daniel
|
||
| New York, : Wiley, 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||