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- catalog contributor b12964771.
- catalog created "c2003.".
- catalog date "2003".
- catalog date "c2003.".
- catalog dateCopyrighted "c2003.".
- catalog description "I. Pricing credit risk. Credit derivatives made simple / Lane Hughston, Stuart M. Turnbull -- Applying HJM to credit risk / Robert Maksymiuk, Dariusz Gatarek -- The price of credit / Vladimir Finkelstein, Bruce Broder, Philippe Khuong-Huu -- Price and probability / Richard Martin, Kevin Thompson, Christopher Browne -- Distance to default / Marco Avelianeda, Jingyi Zhu -- Equity to credit pricing / George Pan -- Getting the pricing right / Angelo Arvanitis -- On the edge of completeness / Angelo Arvanitis, Jean-Paul Laurent.".
- catalog description "II. Measuring default risk. Measuring default accurately / Jorge Sobehart, Sean Keenan -- A credit risk catwalk / Sean Keenan, Jorge Sobehart -- The need for hybrid models / Jorge Sobehart, Sean Keenan.".
- catalog description "III. Dependence in defaults and recoveries. Devil in the parameters / H. Ugur Koyluoglu, Anil Bangia, Thomas Garside -- Modelling default correlation / Krishan Nagpal, Reza Bahar -- How dependent are defaults? Richard Martin, Kevin Thompson, Christopher Browne -- Copulas and credit models / Rudiger Frey, Alexander McNeil, Mark Nyfeler -- Collateral damage / Jon Frye -- Depressing Recoveries / Jon Frye.".
- catalog description "IV. Value-at-risk for credit portfolios. Integrating correlations / Peter Burgisser, Alexandre Kurth, Armin Wagner, Michael Wolf -- Taking to the saddle / Richard Martin, Kevin Thompson, Christopher Browne -- Calculating portfolio loss / Sandro Merino, Mark Nyfeler.".
- catalog description "Includes bibliographical reference and index.".
- catalog description "V. Basel II. IRB approach explained / Tom Wilde -- Pro-cyclicality in the new Basel Accord / D. Wilson Ervin, Tom Wilde -- The maturity effect on credit risk capital / Michael Kalkbrener, Ludger Overbeck -- Loan portfolio value / Oldrich Vasicek -- Probing granularity / Tom Wilde -- Analytical approach to credit risk modeling / Michael Pykhtin, Ashish Dev -- Unsystematic credit risk / Richard Martin, Tom Wilde.".
- catalog description "VI. Pricing multi-name default risk. Copula vulnerability / Umberto Cherubini, Elisa Luciano -- Pricing default baskets / Wolfgang Schmidt, Ian Ward -- Long or short in CDOs / Hans Boscher, Ian Ward -- Extreme events and default baskets / Roy Mashal, Marco Naldi.".
- catalog description "VII. Value-at-risk for asset securitisations. Credit risk in asset securitisations: an analytical model / Michael Pykhtin, Ashish Dev -- Coarse-grained CDOs / Michael Pykhtin, Ashish Dev -- Random tranches / Michael B. Gordy, David Jones.".
- catalog extent "xv, 278 p. :".
- catalog identifier "1904339085".
- catalog issued "2003".
- catalog issued "c2003.".
- catalog language "eng".
- catalog publisher "London : Risk Books,".
- catalog subject "Credit Mathematical models.".
- catalog subject "HG3751 .C74 2003".
- catalog subject "Risk management Mathematical models.".
- catalog tableOfContents "I. Pricing credit risk. Credit derivatives made simple / Lane Hughston, Stuart M. Turnbull -- Applying HJM to credit risk / Robert Maksymiuk, Dariusz Gatarek -- The price of credit / Vladimir Finkelstein, Bruce Broder, Philippe Khuong-Huu -- Price and probability / Richard Martin, Kevin Thompson, Christopher Browne -- Distance to default / Marco Avelianeda, Jingyi Zhu -- Equity to credit pricing / George Pan -- Getting the pricing right / Angelo Arvanitis -- On the edge of completeness / Angelo Arvanitis, Jean-Paul Laurent.".
- catalog tableOfContents "II. Measuring default risk. Measuring default accurately / Jorge Sobehart, Sean Keenan -- A credit risk catwalk / Sean Keenan, Jorge Sobehart -- The need for hybrid models / Jorge Sobehart, Sean Keenan.".
- catalog tableOfContents "III. Dependence in defaults and recoveries. Devil in the parameters / H. Ugur Koyluoglu, Anil Bangia, Thomas Garside -- Modelling default correlation / Krishan Nagpal, Reza Bahar -- How dependent are defaults? Richard Martin, Kevin Thompson, Christopher Browne -- Copulas and credit models / Rudiger Frey, Alexander McNeil, Mark Nyfeler -- Collateral damage / Jon Frye -- Depressing Recoveries / Jon Frye.".
- catalog tableOfContents "IV. Value-at-risk for credit portfolios. Integrating correlations / Peter Burgisser, Alexandre Kurth, Armin Wagner, Michael Wolf -- Taking to the saddle / Richard Martin, Kevin Thompson, Christopher Browne -- Calculating portfolio loss / Sandro Merino, Mark Nyfeler.".
- catalog tableOfContents "V. Basel II. IRB approach explained / Tom Wilde -- Pro-cyclicality in the new Basel Accord / D. Wilson Ervin, Tom Wilde -- The maturity effect on credit risk capital / Michael Kalkbrener, Ludger Overbeck -- Loan portfolio value / Oldrich Vasicek -- Probing granularity / Tom Wilde -- Analytical approach to credit risk modeling / Michael Pykhtin, Ashish Dev -- Unsystematic credit risk / Richard Martin, Tom Wilde.".
- catalog tableOfContents "VI. Pricing multi-name default risk. Copula vulnerability / Umberto Cherubini, Elisa Luciano -- Pricing default baskets / Wolfgang Schmidt, Ian Ward -- Long or short in CDOs / Hans Boscher, Ian Ward -- Extreme events and default baskets / Roy Mashal, Marco Naldi.".
- catalog tableOfContents "VII. Value-at-risk for asset securitisations. Credit risk in asset securitisations: an analytical model / Michael Pykhtin, Ashish Dev -- Coarse-grained CDOs / Michael Pykhtin, Ashish Dev -- Random tranches / Michael B. Gordy, David Jones.".
- catalog title "Credit risk modelling : the cutting-edge collection : technical papers published in Risk 1999-2003 / edited by Michael B. Gordy.".
- catalog type "text".