000			01717nam a2200157Ia 4500
020			_a0-470-82091-8
100			_aDeventer, Donald Van; Imai, Kenji
245			_aCredit risk models and the Basel accords
260			_c2003 _bJohn Wiley & Sons (Asia) Pte Ltd., _aSingapore
300			_a270p.Hard
500			_a$ 89.95
505			_a1. 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
520			_aAssesses 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			_aFinance _aRisk management--Mathematical models _aCredit--Management--Mathematical models
942			_cBK
999			_c87693 _d87693