Concentration risk in credit portfolios
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 a...
Tallennettuna:
| Päätekijä: | |
|---|---|
| Aineistotyyppi: | Livre numérique |
| Kieli: | Anglais |
| Julkaistu: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Sarja: | EAA Lecture Notes
EAA Series |
| Linkit: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Huomautus: |
Description d'après consultation du 26 mars 2012 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Concentration Risk in Credit Portfolios, Eva Lütkebohmert, Berlin, Springerr, 2009, 1 vol. (XVII-225 p.), EAA Lecture Notes, 978-3-540-70869-8 |
| LEADER | 03548nam a22003737a 4500 | ||
|---|---|---|---|
| 001 | 942697 | ||
| 008 | 110106q2000 xxe ||| |||| 00| 0 eng d | ||
| 009 | PPN14904786X | ||
| 020 | |a 9783540708704 | ||
| 041 | 0 | |a eng | |
| 082 | |a 519 | ||
| 084 | |a 91-02. 2000 | ||
| 084 | |a 91B30. 2000 | ||
| 100 | 1 | |a Lütkebohmert, Eva. | |
| 245 | 1 | 0 | |a Concentration risk in credit portfolios |c by Eva Lütkebohmert. |
| 260 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg. | ||
| 260 | |a Cham : |b Springer Nature, |c [20..]. | ||
| 490 | 1 | |a EAA Lecture Notes |x 1865-2174 | |
| 490 | 0 | |a EAA Series |x 1869-6929 | |
| 500 | |a Description d'après consultation du 26 mars 2012 | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 500 | |a Archives Springer e-books (Licence nationale) | ||
| 504 | |a Bibliogr. Index | ||
| 505 | 1 | |a to Credit Risk Modeling Risk Measurement Modeling Credit Risk The Merton Model The Asymptotic Single Risk Factor Model Mixture Models The CreditRisk+ Model Concentration Risk in Credit Portfolios Ad-Hoc Measures of Concentration Name Concentration Sector Concentration Empirical Studies on Concentration Risk Default Contagion Empirical Studies on Default Contagion Models Based on Copulas A Voter Model for Credit Contagion Equilibrium Models | |
| 506 | |a Accès en ligne pour les établissements français bénéficiaires des licences nationales | ||
| 506 | |a Accès soumis à abonnement pour tout autre établissement | ||
| 506 | |a Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 | ||
| 520 | |a 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 | ||
| 776 | 0 | |0 189971975 |t Concentration Risk in Credit Portfolios |f Eva Lütkebohmert |c Berlin |n Springerr |d 2009 |p 1 vol. (XVII-225 p.) |s EAA Lecture Notes |z 978-3-540-70869-8 | |
| 856 | 4 | |q PDF |u https://doi.org/10.1007/978-3-540-70870-4 |z Accès sur la plateforme de l'éditeur | |
| 856 | 4 | |u https://revue-sommaire.istex.fr/ark:/67375/8Q1-LKJ25KH8-B |z Accès sur la plateforme Istex | |
| 856 | 4 | |5 452349901:747838259 |u https://ezproxy.univ-orleans.fr/login?url=https://doi.org/10.1007/978-3-540-70870-4 |z Accès Université d'Orléans | |
| 856 | 4 | |5 180339901:750855819 |u https://ezproxy.insa-cvl.fr/login?qurl=https://doi.org/10.1007/978-3-540-70870-4 |z Accès INSA CVL | |
| 997 | |0 942697 |1 Livre numérique |a Ressource numérique |b INSA |b ENSA |c 0/Bibliothèque numérique/ |c 1/Bibliothèque numérique/Autre ressource numérique/ | ||