Modeling and management of credit risk is the main topic within banks and other lending institutions and concentration risk is highly relevant to anyone who wants to go beyond the very basic portfolio credit risk models. The book gives and introduction to credit risk modeling with the target to measuring concentration risks in credit portfolios. Taking the basic principles of credit risk in general as a starting point several industry credit risk models are studied which allow banks to simulate or compute a probablility distribution of credit losses at the portfolio level. Besides these industry models the Internal Raings Based (IRB) Model, on which Basel II is based is treated. On the basis of these models various methodologies for concentration risks are discussed and current research in these areas is reflected. Important topic in credit riskmodeling Important for both practitioner and researchers Much of the materialcovered has appears for the first time in book-form INDICE: Risk and Risk Measurement.- Modeling Credit Risk.- Industry Modelsfor Credit Risk.- The Internal Ratings Based Approach.- Ad-Hoc Measures of Conentration.- Name Concentration.- Sector Concentration.- Empirical Studies on Concentration Risk.- Empirical Studies on Default Contagion.- Models Based on Copulas.- Equilibrium Models.- Interacting Default Intensity Models.
- ISBN: 978-3-540-70869-8
- Editorial: Springer
- Encuadernacion: Rústica
- Páginas: 240
- Fecha Publicación: 01/10/2008
- Nº Volúmenes: 1
- Idioma: Inglés