Download or read book Les Apports de la mod lisation dans la gestion du risque cr dit bancaire written by Julien Pellegrin and published by . This book was released on 2009 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mod lisation en risque cr dit written by Aurélien Alfonsi and published by . This book was released on 2006 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Le risque de cr dit written by Najah Attig and published by . This book was released on 1999 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Introduction to Credit Risk Modeling written by Christian Bluhm and published by CRC Press. This book was released on 2016-04-19 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains Nearly 100 Pages of New MaterialThe recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model credit portfolios, Introduction to Credit Risk Modelin
Download or read book Credit Risk Modeling written by Elizabeth Mays and published by Global Professional Publishi. This book was released on 1998-12-10 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Covers: � Implementing an application scoring system � Behavior modeling to manage your portfolio � Incorporating economic factors � Statistical techniques for choosing the optimal credit risk model � How to set cutoffs and override rules � Modeling for the sub-prime market � How to evaluate and monitor credit risk models This is an indispensable guide for credit professionals and risk managers who want to understand and implement modeling techniques for increased profitability. In this one-of-a-kind text, experts in credit risk provide a step-by-step guide to building and implementing models both for evaluating applications and managing existing portfolios.
Download or read book Mod lisation du risque de cr dit en banque de d tail avec application au calcul et l allocation de capital r glementaire et conomique written by Antoine Chouillou and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Credit Risk Modeling Valuation and Hedging written by Tomasz R. Bielecki and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 517 pages. Available in PDF, EPUB and Kindle. Book excerpt: The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.
Download or read book Mod lisation Du Stress Testing Du Risque de Cr dit written by Samir Saissi Hassani and published by Omniscriptum. This book was released on 2010-11 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: L'objectif de cette étude est de construire un modèle de stress testing appliqué au risque de crédit d'un portefeuille de prèts aux particuliers. La modélisation du risque de crédit des prèts aux particuliers n'est pas un cas particulier des modèles du risque de crédit pour les entreprises. Le problème de ce genre de portefeuille est la présence importante d'une composante du risque spécifique par rapport au risque systématique. Nous développerons notre modèle à la base de Wilson (1997a, b), de sorte à capter la composante spécifique par des variables idiosyncratiques des prèts et des individus eux-mèmes. D'autre part, la composante systématique est captée par des facteurs macroéconomiques pertinents. Pour ce faire, nous ferons appel aux fonctions de survie de Cox (1975) et Shumway (2001). Nous explorerons également l'initiative fondatrice de Gouréroux et al. (2006) pour modéliser le taux de recouvrement. Des simulations Monte Carlo nous permettront d'évaluer les prédictions des pertes, aussi bien dans le cas de l'exploitation normale de notre institution financière qu'en cas de crises économiques hypothétiques. Notre échantillon provient d'une banque canadienne de la place.
Download or read book D veloppement et essais de mod lisation du risque de cr dit written by Houssam Fakih (juriste) and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Risque de cr dit written by Ying Jiao and published by . This book was released on 2006 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Practical Credit Risk and Capital Modeling and Validation written by Colin Chen and published by Springer Nature. This book was released on with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Credit Risk Modeling using Excel and VBA written by Gunter Löeffler and published by John Wiley & Sons. This book was released on 2007-04-30 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques, in this case credit. Credit Risk Modeling using Excel and VBA with DVD provides practitioners with a hands on introduction to credit risk modeling. Instead of just presenting analytical methods it shows how to implement them using Excel and VBA, in addition to a detailed description in the text a DVD guides readers step by step through the implementation. The authors begin by showing how to use option theoretic and statistical models to estimate a borrowers default risk. The second half of the book is devoted to credit portfolio risk. The authors guide readers through the implementation of a credit risk model, show how portfolio models can be validated or used to access structured credit products like CDO’s. The final chapters address modeling issues associated with the new Basel Accord.
Download or read book Credit Risk Modeling written by David Lando and published by Princeton University Press. This book was released on 2009-12-13 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.
Download or read book Mod lisation et estimation du risque de cr dit written by Tommy Thomassin and published by . This book was released on 2012 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mod lisation du risque de spread de cr dit solvabilit II written by Fabien Vergne and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book MATHEMATIQUES DES MARCHES FINANCIERS written by Mathieu Le Bellac and published by EDP Sciences. This book was released on 2023-10-23T00:00:00+02:00 with total page 257 pages. Available in PDF, EPUB and Kindle. Book excerpt: Depuis 2007, les crises financières successives ont propulsé sur le devant de la scène des termes jusque-là réservés aux seuls spécialistes : Credit Default Swaps, ventes à découvert, couverture de risque, volatilité, Value-at-Risk, obligations souveraines, etc. Le présent ouvrage est une initiation aux modèles mathématiques qui sous-tendent l'utilisation de ces concepts et de quelques autres. Les auteurs se livrent à une analyse approfondie de ces modèles et de leurs principes fondateurs. Ils donnent une discussion critique de l’utilisation des modèles pour l’identification des stratégies d’investissement, l’évaluation du prix des actifs et la gestion des risques associés aux activités de marché. Le lecteur non spécialiste est ainsi invité à se plonger, le temps d’un livre, au cœur d’une discipline fascinante, largement controversée et régulièrement à la une de l’actualité. Extraits de la préface de J.-P. Bouchaud : «Le propos des auteurs est de démystifier les modèles classiques de la finance. Ils tentent de distiller, chez le lecteur, l'envie de comprendre en profondeur les mécanismes des marchés financiers, et d'en développer une intuition directe, presque charnelle, avant d'en faire une modélisation quantitative. »
Download or read book La mod lisation du risque de cr dit dans un environnement prudentiel written by Jad Howayek and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
