TAILIEUCHUNG - Credit Risk - Modeling, Valuation & Hedging

Mathematical finance and financial engineering have been rapidly expanding fields of science over the past three decades. The main reason behind this phenomenon has been the success of sophisticated quantitative methodologies in helping professionals to manage financial risks. The newly developed credit derivatives industry has grown around the need to handle credit risk, which is one of the fundamental factors of financial risk. In recent years, we have witnessed a tremendous acceleration in research efforts aimed at better apprehending, modeling and hedging of this kind of risk . | springer Finance springer Finance is a programme of books aimed at students academics and practitioners working on increasingly technical approaches to the analysis of financial markets. It aims to cover a variety of topics not only mathematical finance but foreign exchanges term structure risk management portfolio theory equity derivatives and financial economics. Credit Risk Valuation Methods Models and Application Af. Ammann ISBN 3-540-67805-0 2001 Risk-Neutral Valuation Pricing and Hedging of Finance Derivatives . Bingham and R. Kiesel ISBN 1-85233-001-5 1998 Interest Rate Models Theory and Practice D. Brigo and F. Mercurio ISBN 3-540-41772-9 2001 Visual Explorations in Finance with Self-Organizing Maps G. Deboeck and T. Kohonen Editors ISBN 3-540-76266-3 1998 Mathematics of Financial Markets R. J. Elliott and p. E Kopp ISBN 0-387-98533-0 1999 Mathematical Finance - Bachelier Congress 2000 H. Geman D. Madan . Pliska and T. Vorst Editors ISBN 3-540-67781-X 2001 Mathematical Models of Financial Derivatives . Kwok ISBN 981-3083-25-5 1998 Efficient Methods for Valuing Interest Rate Derivatives A. Pelsser ISBN 1-85233-304-9 2000 Exponential Functionals of Brownian Motion and Related Processes M. Yor ISBN 3-540-65943-9 2001 Tomasz R. Bielecki Marek Rutkowski Credit Risk Modeling Valuation and Hedging Springer Tomasz R. Bielecki Mathematics Department Northeastern Illinois University 5500 N. St. Louis Avenue Chicago IL 60625-6649 USA e-mail t-bielecki@ Marek Rutkowski Faculty of Mathematics and Information Science Warsaw University of Technology 00-661 Warszawa Poland e-mail markrut@ Preface Mathematics Subject Classification 2000 91B28 91B70 60G44 60H05 60 27 35Q80 JEL Classification coo G12 G13 G32 G33 Cataloging-in-Publication Data applied for Die Deutsche Bibliothek - C1P Einheitsaufhahme Bieledd Tomasz R. Credit risk modeling valuation and hedging Tomasz R. Bielecki Marek Rutkowski - Berlin Heidelberg New York Barcelona Hong Kong .

• Tài chính doanh nghiệp
• credit risk
• modeling valuation
• financial risks
• financial engineering
• Mathematical finance
• credit derivatives industry
• Credit risk management
• Financial risk components
• Bank risk management
• Credit scoring
• Credit ratings
• Rating system architecture
• Internal rating control committees
• Summary of doctoral thesis
• Prevention and mitigation of credit risk at BIDV
• credit risk at BIDV
• Investment and Development of Vietnam
• First hand suggesting
• The credit risk in reality
• Thesis abstract Banking – Finance
• Improving credit risk management capacity
• Credit risk management capacity
• Risk management capacity at Techcombank
• Risk management capability
• Portfolio models for credit risk
• Portfolio model formulations
• Loan loss distribution
• Portfolio loss distribution
• Sovereign credit rating
• Credit rating agencies
• Credit risk indicators
• Credit ratings objective
• Sovereign risk indicators
• Accounting rule change
• Current expected credit loss
• Allowance for loan and lease losses
• Credit provisions
• Financial crisis
• Model risk
• Credit value adjustment
• Wrong way risk
• Right way risk
• Credit risk modeling
• Least square Monte Carlo
• Default time approach (DTA)
• Default probability approach
• Credit Derivatives
• Credit Linked Notes
• Synthetic Collateralized Debt Obligation Structures
• Credit Default Swaps
• Credit Related Spread Products
• Credit risk management for enterprises
• Vietnam commercial banks
• Enterprises in business activities
• Expected credit losses
• Capital requirements
• Risk Management
• Moore penrose inverse
• BCRC index
• Bank funding
• Liquidity risk
• Bank integrating credit
• Funding optimization
• The perceived effectiveness of credit risk management strategies
• Microfinance institutions in the Sekondi Takoradi metropolis
• Credit risk management strategies
• The Sekondi Takoradi Metropolis
• The various MFIs selected purposively
• Luận văn Thạc sĩ Tài chính ngân hàng
• Economics Philosophy Doctor Thesis
• Commercial Bank of Vietnam
• Credit Risk Warning System
• Credit risk on the financial stability
• Commercial banks in Vietnam
• The financial stability
• Commercial bank
• Financial stability
• Efficiency of savings
• Credit cooperative societies
• Improved per capita income
• Policy direction
• quantitative modeling
• Credit Derivatives Pricing Models
• international credit
• lending
• banking
• Asset Swaps
• Credit Default Swap Basis
• Total Return Swaps
• Quantitative research
• Panel data
• An empirical insight
• Bank credit risk
• Finance Banking
• Luận văn tài chính ngân hàng
• Lending Portfolio Risk Management
• Credit Standards
• Financial risk manager
• Financial risk
• Financial manager
• Market risk management
• Integrated risk management
• Investment risk management
• Logistic regression
• European SMES manufacturing sector
• Statistical approaches
• Credit risk evaluation
• Credit risk analysis
• Reflections on the use of the logit model
• The logit model
• Logit model
• Financial risk management
• Managing spot risk
• Managing forward risk
• Managing vanilla options risk
• Managing exotic options risk
• bank failures
• Overdue
• credit operations
• credit risk of branch
• collection and processing of information
• Measuring sovereign risk
• Contingent claims analysis
• The empirical evidence
• Southeast Asia credit markets
• Credit markets