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...
Đã lưu trong:
| Tác giả chính: | |
|---|---|
| Định dạng: | Livre numérique |
| Ngôn ngữ: | Anglais |
| Được phát hành: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Loạt: | EAA Lecture Notes
EAA Series |
| Truy cập trực tuyến: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Chú thích: |
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 |
Mục lục:
- 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