Advances in Credit Risk Modeling and Management (Record no. 41436)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 04869naaaa2200697uu 4500 |
| 001 - CONTROL NUMBER | |
| control field | https://directory.doabooks.org/handle/20.500.12854/68700 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20220219202112.0 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | books978-3-03928-761-1 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9783039287604 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9783039287611 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.3390/books978-3-03928-761-1 |
| Terms of availability | doi |
| 041 0# - LANGUAGE CODE | |
| Language code of text/sound track or separate title | English |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | WCF |
| Source | bicssc |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Vrins, Frédéric |
| Relationship | edt |
| 245 10 - TITLE STATEMENT | |
| Title | Advances in Credit Risk Modeling and Management |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Place of publication, distribution, etc. | Basel, Switzerland |
| Name of publisher, distributor, etc. | MDPI - Multidisciplinary Digital Publishing Institute |
| Date of publication, distribution, etc. | 2020 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 electronic resource (190 p.) |
| 506 0# - RESTRICTIONS ON ACCESS NOTE | |
| Terms governing access | Open Access |
| Source of term | star |
| Standardized terminology for access restriction | Unrestricted online access |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | Credit risk remains one of the major risks faced by most financial and credit institutions. It is deeply connected to the real economy due to the systemic nature of some banks, but also because well-managed lending facilities are key for wealth creation and technological innovation. This book is a collection of innovative papers in the field of credit risk management. Besides the probability of default (PD), the major driver of credit risk is the loss given default (LGD). In spite of its central importance, LGD modeling remains largely unexplored in the academic literature. This book proposes three contributions in the field. Ye & Bellotti exploit a large private dataset featuring non-performing loans to design a beta mixture model. Their model can be used to improve recovery rate forecasts and, therefore, to enhance capital requirement mechanisms. François uses instead the price of defaultable instruments to infer the determinants of market-implied recovery rates and finds that macroeconomic and long-term issuer specific factors are the main determinants of market-implied LGDs. Cheng & Cirillo address the problem of modeling the dependency between PD and LGD using an original, urn-based statistical model. Fadina & Schmidt propose an improvement of intensity-based default models by accounting for ambiguity around both the intensity process and the recovery rate. Another topic deserving more attention is trade credit, which consists of the supplier providing credit facilities to his customers. Whereas this is likely to stimulate exchanges in general, it also magnifies credit risk. This is a difficult problem that remains largely unexplored. Kanapickiene & Spicas propose a simple but yet practical model to assess trade credit risk associated with SMEs and microenterprises operating in Lithuania. Another topical area in credit risk is counterparty risk and all other adjustments (such as liquidity and capital adjustments), known as XVA. Chataignier & Crépey propose a genetic algorithm to compress CVA and to obtain affordable incremental figures. Anagnostou & Kandhai introduce a hidden Markov model to simulate exchange rate scenarios for counterparty risk. Eventually, Boursicot et al. analyzes CoCo bonds, and find that they reduce the total cost of debt, which is positive for shareholders. In a nutshell, all the featured papers contribute to shedding light on various aspects of credit risk management that have, so far, largely remained unexplored. |
| 540 ## - TERMS GOVERNING USE AND REPRODUCTION NOTE | |
| Terms governing use and reproduction | Creative Commons |
| Use and reproduction rights | https://creativecommons.org/licenses/by/4.0/ |
| Source of term | cc |
| -- | https://creativecommons.org/licenses/by/4.0/ |
| 546 ## - LANGUAGE NOTE | |
| Language note | English |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Coins, banknotes, medals, seals (numismatics) |
| Source of heading or term | bicssc |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | recovery rates |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | beta regression |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | credit risk |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | contingent convertible debt |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | financial modelling |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | risk management |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | financial crisis |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | recovery rate |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | loss given default |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | model ambiguity |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | default time |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | no-arbitrage |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | reduced-form HJM models |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | recovery process |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Counterparty Credit Risk |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Hidden Markov Model |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Risk Factor Evolution |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Backtesting |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | FX rate |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | Geometric Brownian Motion |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | trade credit |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | small and micro-enterprises |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | financial non-financial variables |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | risk assessment |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | logistic regression |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | probability of default |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | wrong-way risk |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | dependence |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | urn model |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | counterparty risk |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | credit valuation adjustment (CVA) |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | XVA (X-valuation adjustments) compression |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | genetic algorithm |
| 653 ## - INDEX TERM--UNCONTROLLED | |
| Uncontrolled term | n/a |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Vrins, Frédéric |
| Relationship | oth |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Host name | www.oapen.org |
| Uniform Resource Identifier | <a href="https://mdpi.com/books/pdfview/book/2466">https://mdpi.com/books/pdfview/book/2466</a> |
| Access status | 0 |
| Public note | DOAB: download the publication |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Host name | www.oapen.org |
| Uniform Resource Identifier | <a href="https://directory.doabooks.org/handle/20.500.12854/68700">https://directory.doabooks.org/handle/20.500.12854/68700</a> |
| Access status | 0 |
| Public note | DOAB: description of the publication |
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