Credit risk : measurement, evaluation and management

Abstract

Approaches to Credit Risk in the New Basel Capital Accord.- Systematic Risk in Homogeneous Credit Portfolios.- Valuation of a Credit Default Swap: The Stable Non-Gaussian versus the Gaussian Approach.- Basel II in the DaimlerChrysler Bank.- Sovereign Risk in a Structural Approach. Evaluating Sovereign Ability-to-Pay and Probability of Default.- An Extreme Analysis of VaRs for Emerging Market Benchmark Bonds.- Default Probabilities in Structured Commodity Finance.- Kendall's Tau for Elliptical Distributions.- Exploring Credit Data.- Stable Non-Gaussian Credit Risk Model The Cognity Approach.- An Application of the CreditRisk+ Model.- Internal Ratings for Corporate Clients.- Finding Constrained Downside Risk-Return Efsscient Credit Portfolio Structures Using Hybrid Multi-Objective Evolutionary Computation.- Credit Risk Modelling and Estimation via Elliptical Copulae.- Credit Risk Models in Practice - a Review.- List of Authors.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 44 citations exist upstream.