| Record ID | marc_columbia/Columbia-extract-20221130-007.mrc:370396721:3233 |
| Source | marc_columbia |
| Download Link | /show-records/marc_columbia/Columbia-extract-20221130-007.mrc:370396721:3233?format=raw |
LEADER: 03233mam a22003854a 4500
001 3365371
005 20210210105927.0
008 020613t20032003flua b 001 0 eng
010 $a 2002073623
020 $a158488326X (alk. paper)
035 $a(OCoLC)ocm50041388
035 $9AVC7031CU
035 $a(NNC)3365371
035 $a3365371
040 $aDLC$cDLC$dC#P$dOrLoB-B
042 $apcc
050 00 $aHG3751$b.B58 2003
082 00 $a658.8/8/0151$221
100 1 $aBluhm, Christian.$0http://id.loc.gov/authorities/names/n2002062726
245 13 $aAn introduction to credit risk modeling /$cChristian Bluhm, Ludger Overbeck, Christoph Wagner.
260 $aBoca Raton, Fla. :$bChapman & Hall/CRC,$c[2003], ©2003.
300 $a297 pages :$billustrations ;$c24 cm.
336 $atext$2rdacontent
337 $aunmediated$2rdamedia
338 $avolume$2rdacarrier
490 1 $aChapman & Hall/CRC financial mathematics series
504 $aIncludes bibliographical references (p. 283-291) and index.
505 00 $g1.$tThe Basics of Credit Risk Management.$g1.1.$tExpected Loss.$g1.2.$tUnexpected Loss.$g1.3.$tRegulatory Capital and the Basel Initiative --$g2.$tModeling Correlated Defaults.$g2.1.$tThe Bernoulli Model.$g2.2.$tThe Poisson Model.$g2.3.$tBernoulli Versus Poisson Mixture.$g2.4.$tAn Overview of Today's Industry Models.$g2.5.$tOne-Factor/Sector Models.$g2.6.$tLoss Distributions by Means of Copula Functions.$g2.7.$tWorking Example: Estimation of Asset Correlations --$g3.$tAsset Value Models.$g3.1.$tIntroduction and a Small Guide to the Literature.$g3.2.$tA Few Words about Calls and Puts.$g3.3.$tMerton's Asset Value Model.$g3.4.$tTransforming Equity into Asset Values: A Working Approach --$g4.$tThe CreditRisk[superscript +] Model.$g4.1.$tThe Modeling Framework of CreditRisk[superscript +].$g4.2.$tConstruction Step 1: Independent Obligors.$g4.3.$tConstruction Step 2: Sector Model --$g5.$tAlternative Risk Measures and Capital Allocation.$g5.1.$tCoherent Risk Measures and Conditional Shortfall.
505 80 $g5.2.$tContributory Capital --$g6.$tTerm Structure of Default Probability.$g6.1.$tSurvival Function and Hazard Rate.$g6.2.$tRisk-neutral vs. Actual Default Probabilities.$g6.3.$tTerm Structure Based on Historical Default Information.$g6.4.$tTerm Structure Based on Market Spreads --$g7.$tCredit Derivatives.$g7.1.$tTotal Return Swaps.$g7.2.$tCredit Default Products.$g7.3.$tBasket Credit Derivatives.$g7.4.$tCredit Spread Products.$g7.5.$tCredit-linked Notes --$g8.$tCollateralized Debt Obligations.$g8.1.$tIntroduction to Collateralized Debt Obligations.$g8.2.$tDifferent Roles of Banks in the CDO Market.$g8.3.$tCDOs from the Modeling Point of View.$g8.4.$tRating Agency Models: Moody's BET.$g8.5.$tConclusion.$g8.6.$tSome Remarks on the Literature.
650 0 $aCredit$xManagement$xMathematical models.
650 0 $aRisk management$xMathematical models.$0http://id.loc.gov/authorities/subjects/sh2008110811
700 1 $aOverbeck, Ludger.$0http://id.loc.gov/authorities/names/n2002062731
700 1 $aWagner, Christoph,$d1966-
830 0 $aChapman & Hall/CRC financial mathematics series.$0http://id.loc.gov/authorities/names/n2002062736
852 00 $boff,bus$hHG3751$i.B58 2003