Credit Risk Measurement

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Publisher : John Wiley & Sons
ISBN 13 : 0471274763
Total Pages : 337 pages
Book Rating : 4.4/5 (712 download)

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Book Synopsis Credit Risk Measurement by : Anthony Saunders

Download or read book Credit Risk Measurement written by Anthony Saunders and published by John Wiley & Sons. This book was released on 2002-10-06 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most cutting-edge read on the pricing, modeling, and management of credit risk available The rise of credit risk measurement and the credit derivatives market started in the early 1990s and has grown ever since. For many professionals, understanding credit risk measurement as a discipline is now more important than ever. Credit Risk Measurement, Second Edition has been fully revised to reflect the latest thinking on credit risk measurement and to provide credit risk professionals with a solid understanding of the alternative approaches to credit risk measurement. This readable guide discusses the latest pricing, modeling, and management techniques available for dealing with credit risk. New chapters highlight the latest generation of credit risk measurement models, including a popular class known as intensity-based models. Credit Risk Measurement, Second Edition also analyzes significant changes in banking regulations that are impacting credit risk measurement at financial institutions. With fresh insights and updated information on the world of credit risk measurement, this book is a must-read reference for all credit risk professionals. Anthony Saunders (New York, NY) is the John M. Schiff Professor of Finance and Chair of the Department of Finance at the Stern School of Business at New York University. He holds positions on the Board of Academic Consultants of the Federal Reserve Board of Governors as well as the Council of Research Advisors for the Federal National Mortgage Association. He is the editor of the Journal of Banking and Finance and the Journal of Financial Markets, Instruments and Institutions. Linda Allen (New York, NY) is Professor of Finance at Baruch College and Adjunct Professor of Finance at the Stern School of Business at New York University. She also is author of Capital Markets and Institutions: A Global View (Wiley: 0471130494). Over the years, financial professionals around the world have looked to the Wiley Finance series and its wide array of bestselling books for the knowledge, insights, and techniques that are essential to success in financial markets. As the pace of change in financial markets and instruments quickens, Wiley Finance continues to respond. With critically acclaimed books by leading thinkers on value investing, risk management, asset allocation, and many other critical subjects, the Wiley Finance series provides the financial community with information they want. Written to provide professionals and individuals with the most current thinking from the best minds in the industry, it is no wonder that the Wiley Finance series is the first and last stop for financial professionals looking to increase their financial expertise.

Retail Credit Risk Management

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Author :
Publisher : Springer
ISBN 13 : 1137006765
Total Pages : 367 pages
Book Rating : 4.1/5 (37 download)

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Book Synopsis Retail Credit Risk Management by : M. Anolli

Download or read book Retail Credit Risk Management written by M. Anolli and published by Springer. This book was released on 2013-01-29 with total page 367 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introducing the fundamentals of retail credit risk management, this book provides a broad and applied investigation of the related modeling theory and methods, and explores the interconnections of risk management, by focusing on retail and the constant reference to the implications of the financial crisis for credit risk management.

Credit and Consumer Society

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Publisher : Routledge
ISBN 13 : 1134136188
Total Pages : 182 pages
Book Rating : 4.1/5 (341 download)

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Book Synopsis Credit and Consumer Society by : Dawn Burton

Download or read book Credit and Consumer Society written by Dawn Burton and published by Routledge. This book was released on 2012-08-06 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: The language of credit and debt is almost ubiquitous in daily life. In advanced modern societies, financial institutions and other organizations have become increasingly active in lending money to consumers, and consumers apparently more than willing to take advantage. This groundbreaking new book offers an analysis of this important phenomenon, arguing that we have entered an era in which credit and debt are sanctioned, delivered and collected through new cultural and economic mechanisms. Written in an accessible and straightforward style, the book takes a multi-disciplinary approach, examining consumer credit and debt in both societal and economic contexts. It explores key topics such as: the historical context of credit and debt current theories of a consumer-centred society the credit industry attempts at government regulation. Credit and Consumer Society establishes the wider analysis of consumer credit and debt as a discipline in its own right. It is important reading for students and researchers in business and management, finance, public policy and sociology, as well as for policy makers and consumer groups working directly in this field.

Credit Risk

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Publisher : Princeton University Press
ISBN 13 : 1400829178
Total Pages : 415 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Credit Risk by : Darrell Duffie

Download or read book Credit Risk written by Darrell Duffie and published by Princeton University Press. This book was released on 2012-01-12 with total page 415 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. Masterfully applying theory to practice, Darrell Duffie and Kenneth Singleton model credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. The methodological rigor, scope, and sophistication of their state-of-the-art account is unparalleled, and its singularly in-depth treatment of pricing and credit derivatives further illuminates a problem that has drawn much attention in an era when financial institutions the world over are revising their credit management strategies. Duffie and Singleton offer critical assessments of alternative approaches to credit-risk modeling, while highlighting the strengths and weaknesses of current practice. Their approach blends in-depth discussions of the conceptual foundations of modeling with extensive analyses of the empirical properties of such credit-related time series as default probabilities, recoveries, ratings transitions, and yield spreads. Both the "structura" and "reduced-form" approaches to pricing defaultable securities are presented, and their comparative fits to historical data are assessed. The authors also provide a comprehensive treatment of the pricing of credit derivatives, including credit swaps, collateralized debt obligations, credit guarantees, lines of credit, and spread options. Not least, they describe certain enhancements to current pricing and management practices that, they argue, will better position financial institutions for future changes in the financial markets. Credit Risk is an indispensable resource for risk managers, traders or regulators dealing with financial products with a significant credit risk component, as well as for academic researchers and students.

Advanced Credit Risk Analysis

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Author :
Publisher : John Wiley & Sons
ISBN 13 :
Total Pages : 384 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Advanced Credit Risk Analysis by : Didier Cossin

Download or read book Advanced Credit Risk Analysis written by Didier Cossin and published by John Wiley & Sons. This book was released on 2001 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advanced Credit Analysis presents the latest and most advanced modelling techniques in the theory and practice of credit risk pricing and management. The book stresses the logic of theoretical models from the structural and the reduced-form kind, their applications and extensions. It shows the mathematical models that help determine optimal collateralisation and marking-to-market policies. It looks at modern credit risk management tools and the current structuring techniques available with credit derivatives.

The Handbook of Credit Risk Management

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Publisher : John Wiley & Sons
ISBN 13 : 1118300203
Total Pages : 44 pages
Book Rating : 4.1/5 (183 download)

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Book Synopsis The Handbook of Credit Risk Management by : Sylvain Bouteille

Download or read book The Handbook of Credit Risk Management written by Sylvain Bouteille and published by John Wiley & Sons. This book was released on 2012-12-17 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to credit risk management The Handbook of Credit Risk Management presents a comprehensive overview of the practice of credit risk management for a large institution. It is a guide for professionals and students wanting a deeper understanding of how to manage credit exposures. The Handbook provides a detailed roadmap for managing beyond the financial analysis of individual transactions and counterparties. Written in a straightforward and accessible style, the authors outline how to manage a portfolio of credit exposures--from origination and assessment of credit fundamentals to hedging and pricing. The Handbook is relevant for corporations, pension funds, endowments, asset managers, banks and insurance companies alike. Covers the four essential aspects of credit risk management: Origination, Credit Risk Assessment, Portfolio Management and Risk Transfer. Provides ample references to and examples of credit market services as a resource for those readers having credit risk responsibilities. Designed for busy professionals as well as finance, risk management and MBA students. As financial transactions grow more complex, proactive management of credit portfolios is no longer optional for an institution, but a matter of survival.

International Convergence of Capital Measurement and Capital Standards

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Author :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)

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Book Synopsis International Convergence of Capital Measurement and Capital Standards by :

Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Retail Credit Risk Management

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Author :
Publisher : Palgrave Macmillan
ISBN 13 : 9781349435074
Total Pages : 0 pages
Book Rating : 4.4/5 (35 download)

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Book Synopsis Retail Credit Risk Management by : M. Anolli

Download or read book Retail Credit Risk Management written by M. Anolli and published by Palgrave Macmillan. This book was released on 2013-01-01 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introducing the fundamentals of retail credit risk management, this book provides a broad and applied investigation of the related modeling theory and methods, and explores the interconnections of risk management, by focusing on retail and the constant reference to the implications of the financial crisis for credit risk management.

Powering the Digital Economy: Opportunities and Risks of Artificial Intelligence in Finance

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Publisher : International Monetary Fund
ISBN 13 : 1589063953
Total Pages : 35 pages
Book Rating : 4.5/5 (89 download)

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Book Synopsis Powering the Digital Economy: Opportunities and Risks of Artificial Intelligence in Finance by : El Bachir Boukherouaa

Download or read book Powering the Digital Economy: Opportunities and Risks of Artificial Intelligence in Finance written by El Bachir Boukherouaa and published by International Monetary Fund. This book was released on 2021-10-22 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the impact of the rapid adoption of artificial intelligence (AI) and machine learning (ML) in the financial sector. It highlights the benefits these technologies bring in terms of financial deepening and efficiency, while raising concerns about its potential in widening the digital divide between advanced and developing economies. The paper advances the discussion on the impact of this technology by distilling and categorizing the unique risks that it could pose to the integrity and stability of the financial system, policy challenges, and potential regulatory approaches. The evolving nature of this technology and its application in finance means that the full extent of its strengths and weaknesses is yet to be fully understood. Given the risk of unexpected pitfalls, countries will need to strengthen prudential oversight.

Credit Risk Management

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Publisher : Oxford University Press
ISBN 13 : 0199545111
Total Pages : 552 pages
Book Rating : 4.1/5 (995 download)

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Book Synopsis Credit Risk Management by : Tony Van Gestel

Download or read book Credit Risk Management written by Tony Van Gestel and published by Oxford University Press. This book was released on 2009 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first of three volumes on credit risk management, providing a thorough introduction to financial risk management and modelling.

Advances in Credit Risk Modeling and Management

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Publisher : MDPI
ISBN 13 : 3039287605
Total Pages : 190 pages
Book Rating : 4.0/5 (392 download)

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Book Synopsis Advances in Credit Risk Modeling and Management by : Frédéric Vrins

Download or read book Advances in Credit Risk Modeling and Management written by Frédéric Vrins and published by MDPI. This book was released on 2020-07-01 with total page 190 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk remains one of the major risks faced by most financial and credit institutions. It is deeply connected to the real economy due to the systemic nature of some banks, but also because well-managed lending facilities are key for wealth creation and technological innovation. This book is a collection of innovative papers in the field of credit risk management. Besides the probability of default (PD), the major driver of credit risk is the loss given default (LGD). In spite of its central importance, LGD modeling remains largely unexplored in the academic literature. This book proposes three contributions in the field. Ye & Bellotti exploit a large private dataset featuring non-performing loans to design a beta mixture model. Their model can be used to improve recovery rate forecasts and, therefore, to enhance capital requirement mechanisms. François uses instead the price of defaultable instruments to infer the determinants of market-implied recovery rates and finds that macroeconomic and long-term issuer specific factors are the main determinants of market-implied LGDs. Cheng & Cirillo address the problem of modeling the dependency between PD and LGD using an original, urn-based statistical model. Fadina & Schmidt propose an improvement of intensity-based default models by accounting for ambiguity around both the intensity process and the recovery rate. Another topic deserving more attention is trade credit, which consists of the supplier providing credit facilities to his customers. Whereas this is likely to stimulate exchanges in general, it also magnifies credit risk. This is a difficult problem that remains largely unexplored. Kanapickiene & Spicas propose a simple but yet practical model to assess trade credit risk associated with SMEs and microenterprises operating in Lithuania. Another topical area in credit risk is counterparty risk and all other adjustments (such as liquidity and capital adjustments), known as XVA. Chataignier & Crépey propose a genetic algorithm to compress CVA and to obtain affordable incremental figures. Anagnostou & Kandhai introduce a hidden Markov model to simulate exchange rate scenarios for counterparty risk. Eventually, Boursicot et al. analyzes CoCo bonds, and find that they reduce the total cost of debt, which is positive for shareholders. In a nutshell, all the featured papers contribute to shedding light on various aspects of credit risk management that have, so far, largely remained unexplored.

Journal of CORPORATE FINANCE: Contracting, Governance and Organization

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Author :
Publisher :
ISBN 13 :
Total Pages : 474 pages
Book Rating : 4./5 ( download)

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Book Synopsis Journal of CORPORATE FINANCE: Contracting, Governance and Organization by :

Download or read book Journal of CORPORATE FINANCE: Contracting, Governance and Organization written by and published by . This book was released on 2002 with total page 474 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Yojana March 2022 (English) (Special Issue)

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Publisher : Publications Division Ministry of Information & Broadcasting
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4./5 ( download)

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Book Synopsis Yojana March 2022 (English) (Special Issue) by : Publications Division

Download or read book Yojana March 2022 (English) (Special Issue) written by Publications Division and published by Publications Division Ministry of Information & Broadcasting. This book was released on with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: is a monthly journal devoted to the socio-economic issues. It started its publication in 1957 with Mr. Khuswant Singh as the Chief Editor. The magazine is now published in 13 languages viz. English, Hindi, Urdu, Punjabi, Marathi, Gujarati, Bengali, Assamese, Telugu, Tamil, Kannada, Malayalam and Odia.

The New Basel Capital Accord and the Future of the European Financial System

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Publisher : CEPS
ISBN 13 : 9789290794905
Total Pages : 106 pages
Book Rating : 4.7/5 (949 download)

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Book Synopsis The New Basel Capital Accord and the Future of the European Financial System by : Rym Ayadi

Download or read book The New Basel Capital Accord and the Future of the European Financial System written by Rym Ayadi and published by CEPS. This book was released on 2004 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this report is to provide a detailed, up-to-date and critical analysis of the New Basel Capital Accord framework. It focuses on the limitations and pitfalls that may deserve further investigation, particularly at the European level. Moreover, it provides a provisional assessment of its effects on small- and medium-sized European banks, as well as small- and medium-sized European enterprises. It examines the procyclicality of the new Accord and offers mechanisms to counter it. Finally, it addresses the challenges of implementing the new rules at the EU level.

journal of multinational financial management

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Publisher :
ISBN 13 :
Total Pages : 508 pages
Book Rating : 4./5 ( download)

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Book Synopsis journal of multinational financial management by :

Download or read book journal of multinational financial management written by and published by . This book was released on 2002 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Credit Risk Management In and Out of the Financial Crisis

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Publisher : John Wiley & Sons
ISBN 13 : 0470622369
Total Pages : 373 pages
Book Rating : 4.4/5 (76 download)

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Book Synopsis Credit Risk Management In and Out of the Financial Crisis by : Anthony Saunders

Download or read book Credit Risk Management In and Out of the Financial Crisis written by Anthony Saunders and published by John Wiley & Sons. This book was released on 2010-04-16 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: A classic book on credit risk management is updated to reflect the current economic crisis Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology. This book is a complete update to Credit Risk Measurement: New Approaches to Value at Risk and Other Paradigms, reflecting events stemming from the recent credit crisis. Authors Anthony Saunders and Linda Allen address everything from the implications of new regulations to how the new rules will change everyday activity in the finance industry. They also provide techniques for modeling-credit scoring, structural, and reduced form models-while offering sound advice for stress testing credit risk models and when to accept or reject loans. Breaks down the latest credit risk measurement and modeling techniques and simplifies many of the technical and analytical details surrounding them Concentrates on the underlying economics to objectively evaluate new models Includes new chapters on how to prevent another crisis from occurring Understanding credit risk measurement is now more important than ever. Credit Risk Management In and Out of the Financial Crisis will solidify your knowledge of this dynamic discipline.

The Business Review

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Publisher :
ISBN 13 :
Total Pages : 372 pages
Book Rating : 4.3/5 (555 download)

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Book Synopsis The Business Review by : Federal Reserve Bank of Philadelphia

Download or read book The Business Review written by Federal Reserve Bank of Philadelphia and published by . This book was released on 2003 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: