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Books on the topic 'Structural credit risk models'

Author: Grafiati

Published: 4 June 2021

Last updated: 11 March 2023

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1

Tarashev, Nikola A. An empirical evaluation of structural credit risk models. Bank for International Settlements, 2005.

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2

Schmid, Bernd. Credit risk pricing models: Theory and practice. 2nd ed. Springer, 2010.

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3

Schmid, Bernd. Credit Risk Pricing Models. Springer Berlin Heidelberg, 2004. http://dx.doi.org/10.1007/978-3-540-24716-6.

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4

Wagner, Niklas. Credit Risk. Taylor and Francis, 2008.

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5

Gaspar, Raquel Medeiros. Credit risk & forward price models. Economic Research Institute, Stockholm School of Economics, 2005.

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6

Gaspar, Raquel M. Credit risk & forward price models. Stockholm School of Economics, 2006.

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7

Credit derivatives & the management of risk: Including models for credit risk. New York Institute of Finance, 2000.

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8

Ammann, Manuel. Pricing derivative credit risk. Springer, 1999.

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9

Credit risk valuation: Methods, models, and applications. 2nd ed. Springer, 2001.

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10

Ammann, Manuel. Credit Risk Valuation: Methods, Models, and Applications. Springer Berlin Heidelberg, 2001.

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11

Schmid, B. Credit risk pricing models: Theory and practice. 2nd ed. Springer, 2004.

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12

D'Amico, Guglielmo, Giuseppe Di Biase, Jacques Janssen, and Raimondo Manca. Semi-Markov Migration Models for Credit Risk. John Wiley & Sons, Inc., 2017. http://dx.doi.org/10.1002/9781119415084.

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13

1963-, Imai Kenji, ed. Credit risk models and the Basel Accords. John Wiley & Sons (Asia), 2003.

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14

1970-, Schmid Bernd, ed. Credit risk pricing models: Theory and practice. 2nd ed. Springer, 2004.

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15

1952-, Rutkowski Marek, ed. Credit risk: Modeling, valuation and hedging. Springer, 2002.

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16

Pečená, Magda, and Petr Teplý. Credit risk and financial crises. Karolinum, 2010.

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17

Hashem, Pesaran M. Global business cycles and credit risk. National Bureau of Economic Research, 2005.

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18

Hashem, Pesaran M. Global business cycles and credit risk. National Bureau of Economic Research, 2005.

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19

Ammann, Manuel. Pricing derivative credit risk: Manuel Ammann. Springer, 1999.

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20

Jessica, Cariboni, ed. Levy processes in credit risk. John Wiley & Sons, 2009.

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21

Jean-Pierre, Fouque, Fomby Thomas B, and Solna Knut, eds. Econometrics and risk management. Emerald, 2008.

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22

Hugues, Pirotte, ed. Advanced credit risk analysis: Financial approaches and mathematical models to assess, price, and manage credit risk. John Wiley & Sons, 2001.

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23

Bluhm, Christian. Introduction to credit risk modeling. 2nd ed. Chapman & Hall/CRC, 2010.

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24

GesmbH, Finanzmarkt Austria Dienstleistungs, ed. Guidelines on credit risk management: Rating models and validation. Oesterreichische Nationalbank and Austrian Financial Market Authority, 2004.

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25

Gasha, Giancarlo. Identifying threshold effects in credit risk stress testing. International Monetary Fund, Monetary and Financial Systems Dept., 2004.

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26

Credit risk modelling: Facts, theory and applications. Risk Books, 2012.

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27

Larraín, Guillermo, and Guillermo Larraín. Emerging market risk and sovereign credit ratings. Organisation for Economic Co-operation and Development, 1997.

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28

Fong, H. Gifford. The Credit Market Handbook. John Wiley & Sons, Ltd., 2006.

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29

M, Aparicio Felipe, ed. Optimal control of credit risk. Kluwer Academic Publishers, 2001.

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30

Olekans, Nilss. Default risk in implicit contract models of the credit market. Dept. of Economics, University of Melbourne, 1991.

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31

Jon, Gregory. Counterparty credit risk and credit value adjustment: A continuing challenge for global financial markets. 2nd ed. Wiley, 2012.

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32

Hibbeln, Martin. Risk management in credit portfolios: Concentration risk and Basel II. Physica, 2010.

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33

Gifford, Fong H., ed. The credit market handbook: Advanced modeling issues. Wiley, 2006.

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34

Dermine, Jean. Deposit insurance, credit risk and capital adequacy: A note. INSEAD, 1992.

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35

Counterparty credit risk: The new challenge for global financial markets. Wiley, 2010.

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36

Rama, Cont, ed. Frontiers in quantitative finance: Volatility and credit risk modeling. John Wiley & Sons, 2009.

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37

Grundke, Peter. Integrated Market and Credit Portfolio Models: Risk Measurement and Computational Aspects. Betriebswirtschaftlicher Verlag Dr. Th. Gabler / GWV Fachverlage GmbH, Wiesbaden, 2008.

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38

Frank, Skinner. Pricing and hedging interest and credit risk sensitive instruments. Elsevier Butterworth-Heinemann, 2005.

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39

Pricing and hedging interest and credit risk sensitive instruments. Elsevier Butterworth-Heinemann, 2004.

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40

Kupiec, Paul H. Calibrating your intuition: Capital allocation for market and credit risk. International Monetary Fund, Monetary and Exchange Affairs Department, 2002.

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41

Pagès, Henri. Can liquidity risk be subsumed in credit risk?: A case study from Brady bond prices. Bank for International Settlements, Monetary and Economic Dept., 2001.

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42

Credit risk, capital structure and the pricing of equity options. Springer, 2003.

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43

Model risk: Identification, measurement and management. Risk Books, 2010.

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44

Schmid, Bernd. Credit Risk Pricing Models: Theory and Practice. Springer, 2012.

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45

Besedovsky, Natalia. Uncertain Meanings of Risk. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780198820802.003.0011.

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Abstract:

This chapter studies calculative risk-assessment practices in credit rating agencies. It identifies two fundamentally different methodological approaches for producing ratings, which in turn shape the respective conceptions of credit risk. The traditional approach sees ‘risk’ as an only partially calculable and predictable set of hazards that should be avoided or minimized. This approach is particularly evident in the production of country credit ratings and gives rise to ordinal rankings of risk. By contrast, structured finance rating practices conceive of ‘risk’ as both fully calculable and controllable; they construct cardinal measures of risk by assuming that ontological uncertainty does not exist and that models can capture all possible events in a probabilistic manner. This assumption—that uncertainty can be turned into measurable risk—is a necessary precondition for structured finance securities and has become an influential imaginary in financial markets.

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46

Marek Capiński and Tomasz Zastawniak. Credit Risk. Cambridge University Press, 2016.

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47

Zastawniak, Tomasz, and Marek Capiński. Credit Risk. Cambridge University Press, 2016.

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48

Zastawniak, Tomasz, and Marek Capiński. Credit Risk. Cambridge University Press, 2017.

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49

Zastawniak, Tomasz, and Marek Capiński. Credit Risk. Cambridge University Press, 2016.

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50

Rutkowski, Marek, and Tomasz R. Bielecki. Credit Risk. Springer, 2004.

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