Credit Risk Modelling: The Cutting-Edge Collection: Technical Papers Published in Risk 1999-2003
Michael B. Gordy
Risk Books, 2003 - Business & Economics - 278 pages
A unique volume that brings together the most innovative and instrumental papers on credit risk modelling to reflect the major developments to date. This volume also focuses on the influences that are currently shaping the industry.
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Credit Derivatives Made Simple
Applying HJM to Credit Risk
Price and Probability
31 other sections not shown
analytical approximation asset correlation asset returns assume assumption asymptotic bank bond calculated calibrated chapter collateral conditional copula counterparty credit default swap credit derivatives credit model credit portfolio credit quality credit risk models credit spread CreditManager CreditMetrics curve default correlation default events default probabilities default rate volatility default risk defined denote density dependence economic capital ELGD Equation equity estimate example expected loss exposure Figure formula framework function Gaussian given Gordy granularity adjustment hedging Hull-White model hybrid models indk information entropy interest rates Jarrow Journal latent variable models loan loss distribution maturity Merton model Monte Carlo Moody's normal distribution number of defaults obligors obtained option parameter portfolio loss PortfolioManager pricing prob probability of default quantile random variable recovery rate risk management risk-free risk-neutral risky ROC curve scenario securitisation Sobehart swaption systematic risk Table term structure tion tranche underlying default underlying portfolio zero