標(biāo)題: Titlebook: Concentration Risk in Credit Portfolios; Eva Lütkebohmert Textbook 2009 Springer-Verlag Berlin Heidelberg 2009 Concentration Risk.Financia [打印本頁] 作者: 貪吃的人 時間: 2025-3-21 20:06
書目名稱Concentration Risk in Credit Portfolios影響因子(影響力)
書目名稱Concentration Risk in Credit Portfolios影響因子(影響力)學(xué)科排名
書目名稱Concentration Risk in Credit Portfolios網(wǎng)絡(luò)公開度
書目名稱Concentration Risk in Credit Portfolios網(wǎng)絡(luò)公開度學(xué)科排名
書目名稱Concentration Risk in Credit Portfolios被引頻次
書目名稱Concentration Risk in Credit Portfolios被引頻次學(xué)科排名
書目名稱Concentration Risk in Credit Portfolios年度引用
書目名稱Concentration Risk in Credit Portfolios年度引用學(xué)科排名
書目名稱Concentration Risk in Credit Portfolios讀者反饋
書目名稱Concentration Risk in Credit Portfolios讀者反饋學(xué)科排名
作者: 打算 時間: 2025-3-21 21:11 作者: 表皮 時間: 2025-3-22 03:10 作者: fibroblast 時間: 2025-3-22 07:48 作者: FECT 時間: 2025-3-22 08:44 作者: LINE 時間: 2025-3-22 16:24 作者: LINE 時間: 2025-3-22 18:30 作者: 治愈 時間: 2025-3-23 00:04 作者: 不滿分子 時間: 2025-3-23 04:40 作者: 頌揚本人 時間: 2025-3-23 09:27 作者: 繼而發(fā)生 時間: 2025-3-23 13:23 作者: 極為憤怒 時間: 2025-3-23 15:34 作者: 直覺沒有 時間: 2025-3-23 22:00 作者: 傲慢人 時間: 2025-3-24 00:24
Equilibrium Modelsly affect a particular region can spread by contagion to the whole financial sector. One approach to model the propagation of contagion has been introduced in [6]. The authors concentrate on a single channel of financial contagion, namely the region-overlapping claims of an interbank deposit market,作者: 粘連 時間: 2025-3-24 04:31
Textbook 2009ar, concentration of risk in credit portfolios has been one of the major causes of bank distress. Therefore, concentration risk is highly relevant to anyone who wants to go beyond the very basic portfolio credit risk models...The book gives an introduction to credit risk modeling with the aim to mea作者: 極端的正確性 時間: 2025-3-24 06:42
Risk Measurement Chapter 4 we presents the theoretical model underlying the Basel II risk weight functions, namely the Asymptotic Single Risk Factor model. Chapter 5 is devoted to the presentation of mixture models. As an example of this class of credit risk models, we introduce in Chapter 6 the CreditRisk. model.作者: misshapen 時間: 2025-3-24 13:23 作者: Intercept 時間: 2025-3-24 18:08
Ad-Hoc Measures of Concentrationing from the theory of concentrations in industry. A detailed study of ad-hoc measures based on these properties can be found in [17] who also translated them to the context of concentrations in credit portfolios.作者: 胎兒 時間: 2025-3-24 22:36
The CreditRisk+ Modelal industry’s benchmark models in the area of credit risk management. It is also widely used in the supervisory community since it uses as basic input the same data as also required for the Basel II IRB approach which we discussed in Chapter 4.作者: 實現(xiàn) 時間: 2025-3-25 00:51
Vassil Roussev,Andres Barreto,Irfan Ahmed Chapter 4 we presents the theoretical model underlying the Basel II risk weight functions, namely the Asymptotic Single Risk Factor model. Chapter 5 is devoted to the presentation of mixture models. As an example of this class of credit risk models, we introduce in Chapter 6 the CreditRisk. model.作者: 慢跑鞋 時間: 2025-3-25 04:39 作者: 供過于求 時間: 2025-3-25 09:49 作者: mastopexy 時間: 2025-3-25 13:56
1869-6929 st time in book-form.Includes supplementary material: .Modeling and management of credit risk are the main topics within banks and other lending institutions. Historical experience shows that, in particular, concentration of risk in credit portfolios has been one of the major causes of bank distress作者: PIZZA 時間: 2025-3-25 15:59 作者: 分散 時間: 2025-3-25 20:18
Advances in Digital Forensics XIVy show that a single factor accounts for only 77.5% of the variability of the developed markets, and three factors are required to explain more than 90% while for emerging markets the first factor accounts for only 47% of variability and seven factors are required to explain more than 90%.作者: Aromatic 時間: 2025-3-26 02:42
Empirical Studies on Concentration Risky show that a single factor accounts for only 77.5% of the variability of the developed markets, and three factors are required to explain more than 90% while for emerging markets the first factor accounts for only 47% of variability and seven factors are required to explain more than 90%.作者: Nausea 時間: 2025-3-26 08:02
Textbook 2009atings 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.作者: glisten 時間: 2025-3-26 08:54
Name Concentrationisk in loan portfolios into a systematic and an idiosyncratic component. Systematic risk represents the effect of unexpected changes in macroeconomic and financial market conditions on the performance of borrowers while idiosyncratic risk represents the effects of risks that are particular to individual borrowers.作者: Fillet,Filet 時間: 2025-3-26 16:27 作者: 闖入 時間: 2025-3-26 18:33 作者: NEX 時間: 2025-3-26 23:15
Eva LütkebohmertImportant topic in credit risk modeling.Important for both practitioner and researchers.Much of the material covered has appears for the first time in book-form.Includes supplementary material: 作者: 障礙 時間: 2025-3-27 02:04
EAA Serieshttp://image.papertrans.cn/c/image/234855.jpg作者: abstemious 時間: 2025-3-27 08:18 作者: 過時 時間: 2025-3-27 09:40
Ambika Shrestha Chitrakar,Slobodan Petrovicisk in loan portfolios into a systematic and an idiosyncratic component. Systematic risk represents the effect of unexpected changes in macroeconomic and financial market conditions on the performance of borrowers while idiosyncratic risk represents the effects of risks that are particular to individual borrowers.作者: 蒸發(fā) 時間: 2025-3-27 16:31 作者: MOCK 時間: 2025-3-27 20:31
Vassil Roussev,Andres Barreto,Irfan Ahmedk for banking supervision. This approach is a representative of the so-called . In this concept, the risk of a portfolio is defined as the sum of the notional values of the individual securities in the portfolio, where each notional value may be weighted by a certain risk factor, representing the ri作者: amplitude 時間: 2025-3-27 22:59 作者: Outmoded 時間: 2025-3-28 03:12 作者: Seizure 時間: 2025-3-28 09:22 作者: Infuriate 時間: 2025-3-28 11:00
Advances in Digital Forensics XIVive a brief overview of some simple ad-hoc measures for concentration risk. We will discuss the advantages and drawbacks of these measures based on a set of desirable properties which ensure a consistent measurement of concentration risk. These properties are taken from [53] and [78], originally com作者: Callus 時間: 2025-3-28 15:57 作者: 秘密會議 時間: 2025-3-28 19:13
A Taxonomy of Cloud Endpoint Forensic Toolsconcentration risk has not been answered yet. The occurrence of sector concentration directly results in violating the assumptions of the analytical Merton-type model, which constitutes the core under Pillar I of the Basel II framework for quantifying credit risk. In order to ensure analytical tract作者: 過于光澤 時間: 2025-3-28 23:58
Advances in Digital Forensics XIVging economies. They perform a principal component analysis (PCA) of the individual stock market index returns in developed and emerging economies to underpin the argument that there is rarely only a single risk factor which affects all obligors in the same way and to the same extent. [28] show that作者: 昏睡中 時間: 2025-3-29 04:57
Leon Twenning,Harald Baier,Thomas G?bels firms. Dependencies between different obligors in a credit portfolio can arise from two sources. First, we have . resulting from dependencies of firms in a credit portfolio on some underlying macro-economic factors as for example the overall economic climate. As these risk factors change in time, 作者: Hiatal-Hernia 時間: 2025-3-29 07:16 作者: 表臉 時間: 2025-3-29 11:34 作者: CANDY 時間: 2025-3-29 17:07
Shenzhi Qin,Yubo Lang,Kam-Pui Chowontagion phenomena. As it is shown in recent articles, for example by [22] in their famous binary choice models, there is a close relation between socio-economics and statistical mechanics. This motivates the use of interacting particle systems also in finance. The approach stems from the belief tha作者: 商談 時間: 2025-3-29 20:13
Zachary Grimmett,Jason Staggs,Sujeet Shenoily affect a particular region can spread by contagion to the whole financial sector. One approach to model the propagation of contagion has been introduced in [6]. The authors concentrate on a single channel of financial contagion, namely the region-overlapping claims of an interbank deposit market,作者: Hemoptysis 時間: 2025-3-30 02:30 作者: glans-penis 時間: 2025-3-30 08:06 作者: 討厭 時間: 2025-3-30 09:49 作者: 異端 時間: 2025-3-30 12:33 作者: photopsia 時間: 2025-3-30 18:38 作者: Hamper 時間: 2025-3-30 23:47 作者: 北極人 時間: 2025-3-31 02:10
A Taxonomy of Cloud Endpoint Forensic Toolsk factor implies a uniform correlation among obligors and thereby can lead to an over- or underestimation of risk for portfolios with unequally distributed sector structure. Hence, to account for sector concentration risk a more general framework has to be considered.作者: 飲料 時間: 2025-3-31 06:55
Leon Twenning,Harald Baier,Thomas G?belpendent. There exists a broad literature on the effect of cyclical default dependence in standard reduced-form models with conditional independence structure, see e.g. [46] or [89]. In these types of models, [81] and [115] showed that the conditional independence framework usually leads to default c作者: PACT 時間: 2025-3-31 11:32
Nintendo 3DS Forensic Examination Toolso often referred to as the . property. Essentially it says that, conditional on the paths of some common risk factors determining firms’ default intensities, the default events of the individual firms are independent Poisson arrivals with (conditionally deterministic) intensities.作者: 不可知論 時間: 2025-3-31 15:48
Analysis of Document Security Featuresnce structure. Examples are the oil industry where 22 companies defaulted in 1982-1986 or the retail sector where over 20 defaults occurred in 1990-1992. Hence, assuming a normal distribution for portfolio losses, the probability of extreme losses can be underestimated. In order to reduce the model 作者: 切掉 時間: 2025-3-31 20:52
