S&P: MEASURING N MANAGING CREDIT RISK

图书标准信息

• 作者 Arnaud de、Olivier Renault 著
• 出版社 McGraw-Hill
• 出版时间 2004-03
• 版次 1
• ISBN 9780071417556
• 定价 514.20元
• 装帧 精装
• 开本 其他
• 纸张 其他
• 页数 388页
• 正文语种 英语

【内容简介】

Today'smocomplete,up-to-datereferenceforcontrollingcreditriskexposureofalltypes,ineveryenvironmentMeasuringandManagingCreditRisktakesyoufarbeyondtheBaselguidelinestodetailapowerful,provenprogramforunderandingandcontrollingyourfirm'screditrisk.Providinghands-onanswersonpracticaltopicsfromcapitalmanagementtocorrelations,andsupportingitstheorieswithup-to-the-minutedataandinsights,thisauthoritativebookexamineseverykeyaspectofcreditrisk,including:Determinantsofcreditriskandpricing/spreadimplicationsQuantitativemodelsformovingbeyondAltman'sZscoretoseparate"good"borrowersfrom"bad"Keydeterminantsoflossgivendefault,andpotentiallinksbetweenrecoveryratesandprobabilitiesofdefaultMeasuresofdependencyincludinglinearcorrelation,andtheimpactofcorrelationonportfoliolossesAdetailedreviewoffiveoftoday'smopopularportfoliomodels--CreditMetrics,CreditPortfolioView,PortfolioRiskTracker,CreditRisk+,andPortfolioManagerHowcreditriskisreflectedinthepricesandyieldsofindividualsecuritiesHowderivativesandsecuritizationinrumentscanbeusedtotransferandrepackagecreditriskToday'screditriskmeasurementandmanagementtoolsandtechniquesprovideorganizationswithdramaticallyimprovedrengthandflexibility,notonlyinmitigatingriskbutalsoinimprovingoverallfinancialperformance.MeasuringandManagingCreditRiskintroducesandexploreseachofthesetools,alongwiththerapidlyevolvingglobalcreditenvironment,toprovidebankersandotherfinancialdecision-makerswiththeknow-howtoavoidexcessivecreditriskwherepossible--andmitigateitwhennecessary.

【作者简介】

ArnauddeServigny,Ph.D.,istheheadofQuantitativeAnalyticsforandard&Poor's.ApopularspeakeratconferencesandseminarsthroughoutEurope,deServignyistheauthorofanumberofbooksandarticlesonfinanceandcreditrisk.OlivierRenault,Ph.D.,worksinportfoliomodelinginthequantitativeanalyticsandproductsteamforandard&Poor'sRiskSolutions.PriortojoiningandardandPoor's,OlivierwasalectureronfinanceattheLondonSchoolofEconomicswherehetaughtderivativesandrisk.