Credit risk models and the Basel Accords /
Deventer, Donald R. van,
Credit risk models and the Basel Accords / - Singapore ; Hoboken, NJ : John Wiley & Sons (Asia), 2003. - 270 p. :
Includes bibliographical references and index.
Assesses the ability of credit models to evaluate collateralized debt obligations, loan commitments, collateralized loans, and retail and small business loan portfolios. This book reviews the objectives of the credit risk management process, introduces the theory of the Merton and reduced form credit models, and shows how the models can be used.
0470820918 9780470820919
Credit
Risk management
Credit risk models
Basel accord
HG3751 / .D48 2003
332.7'01'1 / DEV
Credit risk models and the Basel Accords / - Singapore ; Hoboken, NJ : John Wiley & Sons (Asia), 2003. - 270 p. :
Includes bibliographical references and index.
Assesses the ability of credit models to evaluate collateralized debt obligations, loan commitments, collateralized loans, and retail and small business loan portfolios. This book reviews the objectives of the credit risk management process, introduces the theory of the Merton and reduced form credit models, and shows how the models can be used.
0470820918 9780470820919
Credit
Risk management
Credit risk models
Basel accord
HG3751 / .D48 2003
332.7'01'1 / DEV