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The book gives an introduction to credit risk modeling with the aim to measure concentration risks in credit portfolios. Taking the basic principles of credit risk in general as a starting point, several industry models are studied. These allow banks to compute a probability distribution of credit losses at the portfolio level. Besides these industry models the Internal Ratings Based model, on which Basel II is based, is treated.
On the basis of these models various methods for the quantification of name and sector concentration risk and the treatment of default contagion are discussed. The book reflects current research in these areas from both an academic and a supervisory perspective
The book gives an introduction to credit risk modeling with the aim to measure concentration risks in credit portfolios. Taking the basic principles of credit risk in general as a starting point, several industry models are studied. These allow banks to compute a probability distribution of credit losses at the portfolio level. Besides these industry models the Internal Ratings Based model, on which Basel II is based, is treated.
On the basis of these models various methods for the quantification of name and sector concentration risk and the treatment of default contagion are discussed. The book reflects current research in these areas from both an academic and a supervisory perspective
| Erscheinungsjahr: | 2008 |
|---|---|
| Fachbereich: | Allgemeines |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Taschenbuch |
| Inhalt: |
xviii
226 S. 17 s/w Illustr. 226 p. 17 illus. |
| ISBN-13: | 9783540708698 |
| ISBN-10: | 3540708693 |
| Sprache: | Englisch |
| Herstellernummer: | 978-3-540-70869-8 |
| Autor: | Lütkebohmert, Eva |
| Hersteller: |
Springer
Springer, Berlin Springer Berlin Heidelberg |
| Abbildungen: | XVIII, 226 p. 17 illus. |
| Maße: | 14 x 171 x 239 mm |
| Von/Mit: | Eva Lütkebohmert |
| Erscheinungsdatum: | 21.10.2008 |
| Gewicht: | 0,38 kg |
| Erscheinungsjahr: | 2008 |
|---|---|
| Fachbereich: | Allgemeines |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Taschenbuch |
| Inhalt: |
xviii
226 S. 17 s/w Illustr. 226 p. 17 illus. |
| ISBN-13: | 9783540708698 |
| ISBN-10: | 3540708693 |
| Sprache: | Englisch |
| Herstellernummer: | 978-3-540-70869-8 |
| Autor: | Lütkebohmert, Eva |
| Hersteller: |
Springer
Springer, Berlin Springer Berlin Heidelberg |
| Abbildungen: | XVIII, 226 p. 17 illus. |
| Maße: | 14 x 171 x 239 mm |
| Von/Mit: | Eva Lütkebohmert |
| Erscheinungsdatum: | 21.10.2008 |
| Gewicht: | 0,38 kg |
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