Synopsis
Modeling and management of credit risk are the main topics within banks and other lending institutions. Historical experience shows that, in particular, concentration of risk in credit portfolios has been one of the major causes of bank distress. Therefore, concentration risk is highly relevant to anyone who wants to go beyond the very basic portfolio credit risk models.
The book gives an introduction to credit risk modeling with the aim to measure concentration risks in credit portfolios. Taking the basic principles of credit risk in general as a starting point, several industry models are studied. These allow banks to compute a probability distribution of credit losses at the portfolio level. Besides these industry models the Internal Ratings Based model, on which Basel II is based, is treated.
On the basis of these models various methods for the quantification of name and sector concentration risk and the treatment of default contagion are discussed. The book reflects current research in these areas from both an academic and a supervisory perspective
"synopsis" may belong to another edition of this title.
Review
From the reviews:
"Concentration risk is one of the most important risk segments when measuring and presenting credit risk. ... The ... main part of the book presents the analysis of concentration risk in credit portfolios. ... can be of tremendous value to practitioners in financial institutions measuring and reporting concentration risk. It could also be of great value for graduate students in statistics, applied mathematics, and economics to see the technical side of the measures of concentration risk." (Ita Cirovic Donev, The Mathematical Association of America, March, 2009)
"About this title" may belong to another edition of this title.
Other Popular Editions of the Same Title
Search results for Concentration Risk in Credit Portfolios (EAA Series)
Seller Image
Concentration Risk in Credit Portfolios
Published by
Springer, Berlin, Springer Berlin Heidelberg, Springer Okt 2008, 2008
ISBN 10: 3540708693
ISBN 13: 9783540708698
New
Taschenbuch
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Modeling and management of credit risk are the main topics within banks and other lending institutions. Historical experience shows that, in particular, concentration of risk in credit portfolios has been one of the major causes of bank distress. Therefore, concentration risk is highly relevant to anyone who wants to go beyond the very basic portfolio credit risk models.The book gives an introduction to credit risk modeling with the aim to measure concentration risks in credit portfolios. Taking the basic principles of credit risk in general as a starting point, several industry models are studied. These allow banks to compute a probability distribution of credit losses at the portfolio level. Besides these industry models the Internal Ratings Based model, on which Basel II is based, is treated.On the basis of these models various methods for the quantification of name and sector concentration risk and the treatment of default contagion are discussed. The book reflects current research in these areas from both an academic and a supervisory perspective 226 pp. Englisch. Seller Inventory # 9783540708698
Stock Image
Concentration Risk in Credit Portfolios (EAA Series)
Seller: Ria Christie Collections, Uxbridge, United Kingdom
Seller rating 5 out of 5 stars
Condition: New. In. Seller Inventory # ria9783540708698_new
Buy New
£ 55.92
£ 11.98 shipping
Ships from United Kingdom to U.S.A.
Ships from United Kingdom to U.S.A.
Quantity: Over 20 available
Stock Image
Concentration Risk in Credit Portfolios
Seller: Books Puddle, New York, NY, U.S.A.
Seller rating 4 out of 5 stars
Condition: New. pp. 244. Seller Inventory # 26473849
Stock Image
Concentration Risk in Credit Portfolios
Print on DemandSeller: Majestic Books, Hounslow, United Kingdom
Seller rating 4 out of 5 stars
Condition: New. Print on Demand pp. 244 49:B&W 6.14 x 9.21 in or 234 x 156 mm (Royal 8vo) Perfect Bound on White w/Gloss Lam. Seller Inventory # 7374118
Buy New
£ 73.68
£ 6.50 shipping
Ships from United Kingdom to U.S.A.
Ships from United Kingdom to U.S.A.
Quantity: 4 available
Stock Image
Concentration Risk in Credit Portfolios
Print on DemandSeller: Biblios, Frankfurt am main, HESSE, Germany
Seller rating 4 out of 5 stars
Condition: New. PRINT ON DEMAND pp. 244. Seller Inventory # 18473843
Seller Image
Concentration Risk in Credit Portfolio
Published by
Springer Berlin Heidelberg, 2008
ISBN 10: 3540708693
ISBN 13: 9783540708698
New
Kartoniert / Broschiert
Seller: moluna, Greven, Germany
Seller rating 5 out of 5 stars
Kartoniert / Broschiert. Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Important topic in credit risk modelingImportant for both practitioner and researchersMuch of the material covered has appears for the first time in book-formImportant topic in credit risk modelingImportant for both practi. Seller Inventory # 4899060
Buy New
£ 47.43
£ 42.42 shipping
Ships from Germany to U.S.A.
Ships from Germany to U.S.A.
Quantity: Over 20 available
Seller Image
Concentration Risk in Credit Portfolios
Seller: preigu, Osnabrück, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. Concentration Risk in Credit Portfolios | Eva Lütkebohmert | Taschenbuch | xviii | Englisch | 2008 | Springer | EAN 9783540708698 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu. Seller Inventory # 101744035
Seller Image
Concentration Risk in Credit Portfolios
Published by
Springer, Berlin, Springer, 2008
ISBN 10: 3540708693
ISBN 13: 9783540708698
New
Taschenbuch
Seller: AHA-BUCH GmbH, Einbeck, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - Modeling and management of credit risk are the main topics within banks and other lending institutions. Historical experience shows that, in particular, concentration of risk in credit portfolios has been one of the major causes of bank distress. Therefore, concentration risk is highly relevant to anyone who wants to go beyond the very basic portfolio credit risk models.The book gives an introduction to credit risk modeling with the aim to measure concentration risks in credit portfolios. Taking the basic principles of credit risk in general as a starting point, several industry models are studied. These allow banks to compute a probability distribution of credit losses at the portfolio level. Besides these industry models the Internal Ratings Based model, on which Basel II is based, is treated.On the basis of these models various methods for the quantification of name and sector concentration risk and the treatment of default contagion are discussed. The book reflects current research in these areas from both an academic and a supervisory perspective. Seller Inventory # 9783540708698