Advances in Credit Risk Modeling and Management

• Outros Autores: Vrins, Frédéric (Editor)
• Formato: Recurso Electrónico Capítulo de Livro
• Idioma: inglês
• Publicado em: Basel, Switzerland MDPI - Multidisciplinary Digital Publishing Institute 2020
• Assuntos: Coins, banknotes, medals, seals (numismatics); recovery rates; beta regression; credit risk; contingent convertible debt; financial modelling; risk management; financial crisis; recovery rate; loss given default; model ambiguity; default time; no-arbitrage; reduced-form HJM models; recovery process; Counterparty Credit Risk; Hidden Markov Model; Risk Factor Evolution; Backtesting; FX rate; Geometric Brownian Motion; trade credit; small and micro-enterprises; financial non-financial variables; risk assessment; logistic regression; probability of default; wrong-way risk; dependence; urn model; counterparty risk; credit valuation adjustment (CVA); XVA (X-valuation adjustments) compression; genetic algorithm; n/a
• Acesso em linha: DOAB: download the publication; DOAB: description of the publication

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 c...