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Recent Advances in Credit Risk Modeling / / Jose Gasha, Andre Santos, Jorge Chan-Lau, Carlos Medeiros, Marcos Souto, Christian Capuano
| Recent Advances in Credit Risk Modeling / / Jose Gasha, Andre Santos, Jorge Chan-Lau, Carlos Medeiros, Marcos Souto, Christian Capuano |
| Autore | Gasha Jose |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 1 online resource (33 p.) |
| Altri autori (Persone) |
SantosAndre
Chan-LauJorge MedeirosCarlos SoutoMarcos CapuanoChristian |
| Collana | IMF Working Papers |
| Soggetto topico |
Credit - Management - Mathematical models
Risk management Banks and Banking Financial Risk Management Investments: Options Macroeconomics Money and Monetary Policy Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill International Financial Markets Price Level Inflation Deflation Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Monetary Policy, Central Banking, and the Supply of Money and Credit: General Finance Financial services law & regulation Monetary economics Credit risk Asset valuation Asset prices Options Credit Financial risk management Asset-liability management Prices Derivative securities |
| 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-9910788330903321 |
Gasha Jose
|
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| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Recent Advances in Credit Risk Modeling / / Jose Gasha, Andre Santos, Jorge Chan-Lau, Carlos Medeiros, Marcos Souto, Christian Capuano
| Recent Advances in Credit Risk Modeling / / Jose Gasha, Andre Santos, Jorge Chan-Lau, Carlos Medeiros, Marcos Souto, Christian Capuano |
| Autore | Gasha Jose |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 1 online resource (33 p.) |
| Disciplina | 338.542 |
| Altri autori (Persone) |
CapuanoChristian
Chan-LauJorge MedeirosCarlos SantosAndre SoutoMarcos |
| Collana | IMF Working Papers |
| Soggetto topico |
Credit - Management - Mathematical models
Risk management Asset prices Asset valuation Asset-liability management Banks and Banking Capital and Ownership Structure Credit risk Credit Deflation Derivative securities Finance Financial Instruments Financial Risk and Risk Management Financial Risk Management Financial risk management Financial services law & regulation Financing Policy Goodwill Inflation Institutional Investors International Financial Markets Investments: Options Macroeconomics Monetary economics Monetary Policy, Central Banking, and the Supply of Money and Credit: General Money and Monetary Policy Non-bank Financial Institutions Options Pension Funds Price Level Prices Value of Firms |
| ISBN |
9786612843754
9781462378975 1462378978 9781452782355 1452782350 9781451873092 1451873093 9781282843752 1282843753 |
| 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-9910970775003321 |
|
Gasha Jose
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||