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Credit risk modeling using Excel and VBA with DVD
| Credit risk modeling using Excel and VBA with DVD |
| Autore | Löffler Gunter |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | [Place of publication not identified], : Wiley, 2011 |
| Descrizione fisica | 1 online resource (xiv, 342 p.) : ill |
| Disciplina | 332.70285554 |
| Collana | Wiley finance series |
| Soggetto topico |
Credit - Management
Credit - Management - Mathematical models Risk management - Mathematical models Risk management - Computer programs Electronic spreadsheets Finance Business & Economics Credit, Debt & Loans |
| Soggetto genere / forma | Electronic books. |
| ISBN | 1-119-20221-3 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910141313203321 |
Löffler Gunter
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| [Place of publication not identified], : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Credit risk modeling using Excel and VBA with DVD
| Credit risk modeling using Excel and VBA with DVD |
| Autore | Löffler Gunter |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | [Place of publication not identified], : Wiley, 2011 |
| Descrizione fisica | 1 online resource (xiv, 342 p.) : ill |
| Disciplina | 332.70285554 |
| Collana | Wiley finance series |
| Soggetto topico |
Credit - Management
Credit - Management - Mathematical models Risk management - Mathematical models Risk management - Computer programs Electronic spreadsheets Finance Business & Economics Credit, Debt & Loans |
| ISBN |
9781119202219
1119202213 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9911019224803321 |
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Löffler Gunter
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| [Place of publication not identified], : Wiley, 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Levy processes in credit risk [[electronic resource] /] / Wim Schoutens and Jessica Cariboni
| Levy processes in credit risk [[electronic resource] /] / Wim Schoutens and Jessica Cariboni |
| Autore | Schoutens Wim |
| Pubbl/distr/stampa | [Hoboken, NJ], : John Wiley & Sons, c2009 |
| Descrizione fisica | 1 online resource (201 p.) |
| Disciplina |
332.7
658.88015195 |
| Altri autori (Persone) | CariboniJessica |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Credit - Management - Mathematical models
Risk management - Mathematical models Lévy processes |
| Soggetto genere / forma | Electronic books. |
| ISBN |
0-470-68506-9
1-119-20652-9 1-282-29172-6 9786612291722 0-470-74903-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | L ́evy Processes in Credit Risk; Contents; Preface; Acknowledgements; PART I: INTRODUCTION; 1 An Introduction to Credit Risk; 2 An Introduction to L ́evy Processes; PART II: SINGLE-NAME MODELLING; 3 Single-Name Credit Derivatives; 4 Firm-Value L ́evy Models; 5 Intensity L ́evy Models; PART III: MULTIVARIATE MODELLING; 6 Multivariate Credit Products; 7 Collateralized Debt Obligations; 8 Multivariate Index Modelling; PART IV: EXOTIC STRUCTURED CREDIT RISK PRODUCTS; 9 Credit CPPIs and CPDOs; 10 Asset-Backed Securities; Bibliography; Index |
| Record Nr. | UNINA-9910139929003321 |
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Schoutens Wim
|
||
| [Hoboken, NJ], : John Wiley & Sons, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Levy processes in credit risk [[electronic resource] /] / Wim Schoutens and Jessica Cariboni
| Levy processes in credit risk [[electronic resource] /] / Wim Schoutens and Jessica Cariboni |
| Autore | Schoutens Wim |
| Pubbl/distr/stampa | [Hoboken, NJ], : John Wiley & Sons, c2009 |
| Descrizione fisica | 1 online resource (201 p.) |
| Disciplina |
332.7
658.88015195 |
| Altri autori (Persone) | CariboniJessica |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Credit - Management - Mathematical models
Risk management - Mathematical models Lévy processes |
| ISBN |
0-470-68506-9
1-119-20652-9 1-282-29172-6 9786612291722 0-470-74903-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | L ́evy Processes in Credit Risk; Contents; Preface; Acknowledgements; PART I: INTRODUCTION; 1 An Introduction to Credit Risk; 2 An Introduction to L ́evy Processes; PART II: SINGLE-NAME MODELLING; 3 Single-Name Credit Derivatives; 4 Firm-Value L ́evy Models; 5 Intensity L ́evy Models; PART III: MULTIVARIATE MODELLING; 6 Multivariate Credit Products; 7 Collateralized Debt Obligations; 8 Multivariate Index Modelling; PART IV: EXOTIC STRUCTURED CREDIT RISK PRODUCTS; 9 Credit CPPIs and CPDOs; 10 Asset-Backed Securities; Bibliography; Index |
| Record Nr. | UNINA-9910830832003321 |
|
Schoutens Wim
|
||
| [Hoboken, NJ], : John Wiley & Sons, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Levy processes in credit risk / / Wim Schoutens and Jessica Cariboni
| Levy processes in credit risk / / Wim Schoutens and Jessica Cariboni |
| Autore | Schoutens Wim |
| Pubbl/distr/stampa | [Hoboken, NJ], : John Wiley & Sons, c2009 |
| Descrizione fisica | 1 online resource (201 p.) |
| Disciplina | 658.8/8015195 |
| Altri autori (Persone) | CariboniJessica |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Credit - Management - Mathematical models
Risk management - Mathematical models Lévy processes |
| ISBN |
9786612291722
9780470685068 0470685069 9781119206521 1119206529 9781282291720 1282291726 9780470749036 0470749032 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | L ́evy Processes in Credit Risk; Contents; Preface; Acknowledgements; PART I: INTRODUCTION; 1 An Introduction to Credit Risk; 2 An Introduction to L ́evy Processes; PART II: SINGLE-NAME MODELLING; 3 Single-Name Credit Derivatives; 4 Firm-Value L ́evy Models; 5 Intensity L ́evy Models; PART III: MULTIVARIATE MODELLING; 6 Multivariate Credit Products; 7 Collateralized Debt Obligations; 8 Multivariate Index Modelling; PART IV: EXOTIC STRUCTURED CREDIT RISK PRODUCTS; 9 Credit CPPIs and CPDOs; 10 Asset-Backed Securities; Bibliography; Index |
| Record Nr. | UNINA-9911020087303321 |
|
Schoutens Wim
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||
| [Hoboken, NJ], : John Wiley & Sons, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
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->
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||
| Washington, D.C., : International Monetary Fund, c2009 | ||
| 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 |
| 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
|
||
| 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 |
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Gasha Jose
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||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Review and implementation of credit risk models of the financial sector assessment program (FSAP) [[electronic resource] /] / prepared by Renzo G. Avesani ...[et. al]
| 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 |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, 2006 |
| Descrizione fisica | 1 online resource (35 p.) |
| Collana | IMF working paper |
| Soggetto topico |
Credit - Management - Mathematical models
Financial services industry - State supervision |
| Soggetto genere / forma | Electronic books. |
| 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-9910464563703321 |
|
Avesani Renzo G
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||
| [Washington, D.C.], : International Monetary Fund, 2006 | ||
| Materiale a stampa | ||
| 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
| 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 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
