ENGLISH

Introduction to Credit Risk

By Giulio Carlone

Book information

Publisher
Chapman and Hall/CRC
Year
2020
ISBN
0367478498, 9780367478490
Language
english
Format
PDF
Filesize
56 MB (58361503 bytes)
Series
Chapman and Hall/CRC Finance Series
Edition
1
Pages
488\489
Time added
2021-03-02 16:41:40

Description

Introduction to Credit Risk focuses on analysis of credit risk, derivatives, equity investments, portfolio management, quantitative methods, and risk management. In terms of application, this book can be used as an important tool to explain how to generate data rows of expected exposure to counterparty credit risk. The book also directs the reader on how to visualize, in real time, the results of this data, generated with a Java tool. Contents Preface Author Introduction: Starting with Credit Risk 1 Background of Credit Risk and Java Visualization for Expected Exposure 2 Theoretical Phase of a Real-World Case Study 3 Real-World Case of the Practical Phase for Generating Exposure Regulatory Measures in a Specific Bank with an Internal Model Method 4 Theoretical Approach of the Real-World Case Phase Related to the Methodology of Scenario Simulation Used for Generating Exposure Regulatory Measures 5 Generation of a Simulation of a Real-World Case for Generating Exposure Regulatory Measures 6 Compute Exposure by Counterparty 7 First Quantitative Analysis of Portfolio Exposure Profiles 8 Further Analysis on Portfolio Exposure Profiles Using Zero Rate Vector 0.03 9 Further Analysis of Portfolio Exposure Profiles with Zero Rate Vector 0.06 10 Generalization of Analysis on Portfolio Exposure Profiles with Zero Rate Vectors 0.01, 0.03, and 0.06 11 Risk Perspective of Credit Valuation Adjustment 12 Further Work 13 MATLAB Source Code Strategy and Analysis for Generation of Time Step Set of Data 14 Expected Exposure Visualization List of Java Code Packages 15 Expected Exposure Visualization List of UML Diagram 16 Credit Models Using Google Cloud 17 Conclusion Index

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