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Credit Losses in Economic Downturns - Empirical Evidence for Hong Kong Mortgage Loans
In: Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 15/2008
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Credit securitizations and derivatives: challenges for the global markets
In: The Wiley Finance Ser
This book presents state of the art thinking and developments in credit securitizationss, derivatives, and risk management. Written by leading thinkers from academia, the industry, and the regulatory environment, the book covers areas such as business cycles; correlation modelling and interactions between financial markets, institutions, and instruments in relation to securitizationsns and credit derivatives; credit portfolio risk; credit portfolio risk tranching; credit ratings for securitizations; counterparty credit risk and clearing of derivatives contracts and liquidity risk. [Book jacket].
Benchmarking LGD Discount Rates
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Working paper
Benchmarking Loss given Default Discount Rates
In: Journal of Risk Model Validation, Band 14
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The Role of Loan Portfolio Losses and Bank Capital for Asian Financial System Resilience
In: Pacific-Basin Finance Journal, Band 40
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Securitization Rating Performance and Agency Incentives
In: Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 18/2011
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Credit risk analytics: measurement techniques, applications, and examples in SAS
In: Wiley and SAS business series
Credit risk analytics: measurement techniques, applications, and examples in SAS
In: Wiley & SAS business series
The long-awaited, comprehensive guide to practical credit risk modeling Credit Risk Analytics provides a targeted training guide for risk managers looking to efficiently build or validate in-house models for credit risk management. Combining theory with practice, this book walks you through the fundamentals of credit risk management and shows you how to implement these concepts using the SAS credit risk management program, with helpful code provided. Coverage includes data analysis and preprocessing, credit scoring; PD and LGD estimation and forecasting, low default portfolios, correlation modeling and estimation, validation, implementation of prudential regulation, stress testing of existing modeling concepts, and more, to provide a one-stop tutorial and reference for credit risk analytics. The companion website offers examples of both real and simulated credit portfolio data to help you more easily implement the concepts discussed, and the expert author team provides practical insight on this real-world intersection of finance, statistics, and analytics. SAS is the preferred software for credit risk modeling due to its functionality and ability to process large amounts of data. This book shows you how to exploit the capabilities of this high-powered package to create clean, accurate credit risk management models.-Understand the general concepts of credit risk management -Validate and stress-test existing models -Access working examples based on both real and simulated data -Learn useful code for implementing and validating models in SAS Despite the high demand for in-house models, there is little comprehensive training available; practitioners are left to comb through piece-meal resources, executive training courses, and consultancies to cobble together the information they need. This book ends the search by providing a comprehensive, focused resource backed by expert guidance. Credit Risk Analytics is the reference every risk manager needs to streamline the modeling process.
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A Cautionary Tale of Two extremes:The Provision of Government Liquidity Support in the Banking Sector
In: Journal of Financial Stability, Forthcoming
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A Cautionary Tale of Two Extremes: The Provision of Government Liquidity Support in the Banking Sector
In: Journal of Financial Stability, Forthcoming
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Working paper