عنوان

Credit risk :

(Number (ISBN

3790800546

(Number (ISBN

9783790800548

Number

b545197

Title Proper

Credit risk :

General Material Designation

[Book]

Other Title Information

measurement, evaluation and management ; [on March 13th - 15th 2002, the 8th Econometric Workshop in Karlsruhe was held at the University of Karlsruhe (TH), Germany] ; with 85 figures

First Statement of Responsibility

Georg Bol ... eds.

Place of Publication, Distribution, etc.

Heidelberg

Name of Publisher, Distributor, etc.

Physica-Verl.

Date of Publication, Distribution, etc.

2003

Specific Material Designation and Extent of Item

x, 333 Seiten : Diagramme.

Series Title

Contributions to economics.

Text of Note

Enth. 15 Beitr.

Text of Note

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.

Credit -- Congresses -- Mathematical models

Credit -- Mathematical models -- Congresses

Kreditrisiko -- Messung -- Risikomanagement -- Schätzung -- Theorie -- Welt.

Georg Bol ... eds.

Georg Bol

Electronic name

[Book]

Y