| 書目名稱 | Concentration Risk in Credit Portfolios |
| 編輯 | Eva Lütkebohmert |
| 視頻video | http://file.papertrans.cn/235/234855/234855.mp4 |
| 概述 | Important 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: |
| 叢書名稱 | EAA Series |
| 圖書封面 |  |
| 描述 | .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. 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 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. |
| 出版日期 | Textbook 2009 |
| 關(guān)鍵詞 | Concentration Risk; Financial Economics; Modeling Credit Risk; Risk Management; modeling; quantitative fi |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-540-70870-4 |
| isbn_softcover | 978-3-540-70869-8 |
| isbn_ebook | 978-3-540-70870-4Series ISSN 1869-6929 Series E-ISSN 1869-6937 |
| issn_series | 1869-6929 |
| copyright | Springer-Verlag Berlin Heidelberg 2009 |
|Archiver|手機(jī)版|小黑屋|
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