Credit risk models and the Basel accords (Record no. 87693)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01717nam a2200157Ia 4500 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 0-470-82091-8 |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Deventer, Donald Van; Imai, Kenji |
| 245 ## - TITLE STATEMENT | |
| Title | Credit risk models and the Basel accords |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2003 |
| Name of publisher, distributor, etc. | John Wiley & Sons (Asia) Pte Ltd., |
| Place of publication, distribution, etc. | Singapore |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 270p.Hard |
| 500 ## - GENERAL NOTE | |
| General note | $ 89.95 |
| 505 ## - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 1. The Objectives of the Credit Risk Process <br/>2. The Asian Crisis: Lessons for Maximizing Risk adjusted Shareholder Value <br/>3. The Evolution of Credit Modeling Techniques <br/>4. Credit Risk Models: The Impact of Macro Factors on the Risk of Default <br/>5. Internal Ratings and Approaches to Testing Credit Models <br/>6. Tests of Credit Models using Historical Default Data <br/>7. Market Data Tests of Credit Models: Lessons from Enron and Other Case Studies <br/>8. Out of Sample Testing of Credit Models <br/>9. Implications of the Tests for the Basel Accords and Management of Financial Institutions<br/> 10. Measuring Safety and Soundness and Capital Allocation Using the Merton and Reduced Form Models <br/>11. Impact of Collateral on Valuation Models <br/>12. Pricing and Valuing Revolving Credit and Other Loan Agreements <br/>13. Credit Derivatives and Collateralized Debt Obligations <br/>14. Future Developments in Credit Modeling Index |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | Assesses the ability of credit models to evaluate collateralized debt obligations, loan commitments, collateralized loans, and retail and small business loan portfolios. This book reviews the objectives of the credit risk management process, introduces the theory of the Merton and reduced form credit models, and shows how the models can be used. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Finance |
| -- | Risk management--Mathematical models |
| -- | Credit--Management--Mathematical models |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Koha item type | Books |
| Withdrawn status | Lost status | Damaged status | Not for loan | Collection code | Home library | Current library | Shelving location | Date acquired | Total Checkouts | Full call number | Barcode | Date last seen | Date last checked out | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| GSB Collection | 25/03/2010 | 3 | 332.7 DEV | 27264 | 24/10/2016 | 22/10/2016 | 22/06/2019 | Books |