Credit Risk Management [electronic resource] : Pricing, Measurement, and Modeling / by Jiří Witzany

Author:: Witzany, Jiří
Published:: Cham : Springer International Publishing : Imprint: Springer, 2017.
Physical Description:: XIII, 250 pages 87 illustrations, 65 illustrations in color : online resource
Additional Creators:: SpringerLink (Online service)

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Contents:

Introduction -- Credit Risk Management -- Rating and Scoring Systems -- Portfolio Credit Risk -- Credit Derivatives -- Conclusion -- Index.

Summary:

This book introduces to basic and advanced methods for credit risk management. It covers classical debt instruments and modern financial markets products. The author describes not only standard rating and scoring methods like Classification Trees or Logistic Regression, but also less known models that are subject of ongoing research, like e.g. Support Vector Machines, Neural Networks, or Fuzzy Inference Systems. The book also illustrates financial and commodity markets and analyzes the principles of advanced credit risk modeling techniques and credit derivatives pricing methods. Particular attention is given to the challenges of counterparty risk management, Credit Valuation Adjustment (CVA) and the related regulatory Basel III requirements. As a conclusion, the book provides the reader with all the essential aspects of classical and modern credit risk management and modeling.

Subject(s):

ISBN:

9783319498003

Digital File Characteristics:

text file PDF

Part Of:

Springer eBooks

View MARC record | catkey: 20046529