Credit risk models and the Basel accords

$ 89.95

1. The Objectives of the Credit Risk Process
2. The Asian Crisis: Lessons for Maximizing Risk adjusted Shareholder Value
3. The Evolution of Credit Modeling Techniques
4. Credit Risk Models: The Impact of Macro Factors on the Risk of Default
5. Internal Ratings and Approaches to Testing Credit Models
6. Tests of Credit Models using Historical Default Data
7. Market Data Tests of Credit Models: Lessons from Enron and Other Case Studies
8. Out of Sample Testing of Credit Models
9. Implications of the Tests for the Basel Accords and Management of Financial Institutions
10. Measuring Safety and Soundness and Capital Allocation Using the Merton and Reduced Form Models
11. Impact of Collateral on Valuation Models
12. Pricing and Valuing Revolving Credit and Other Loan Agreements
13. Credit Derivatives and Collateralized Debt Obligations
14. Future Developments in Credit Modeling Index

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.