Credit risk management: basic concepts ; financial risk components, rating analysis, models, economic and regulatory capital
Gespeichert in:
| Beteiligte Personen: | , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Oxford ; New York
Oxford University Press
2009
|
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016587520&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Beschreibung: | Literaturverz. S. [483] - 518 |
| Umfang: | xvi, 535 Seiten Diagramme |
Internformat
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Datensatz im Suchindex
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|---|---|
| adam_text | IMAGE 1
CREDIT RISK MANAGEMENT
BASIC CONCEPTS: FINANCIAL RISK COMPONENTS, RATING ANALYSIS, MODELS,
ECONOMIC AND REGULATORY CAPITAL
DR. IR. TONY VAN GESTEL DEXIA GROUP, RISK MANAGEMENT HOLDING
PROF. DR. BART BAESENS
FACULTY OF BUSINESS AND ECONOMICS, KATHOLIEKE UNIVERSITEIT LEUVEN,
BELGIUM SCHOOL OF MANAGEMENT, UNIVERSITY OF SOUTHAMPTON, UNITED KINGDOM
VLERICK LEUVEN GHENT MANAGEMENT SCHOOL, BELGIUM
OXTORD UNIVERSITY PRESS
IMAGE 2
CONTENTS
ACKNOWLEDGEMENTS INTRODUCTION CHAPTER BY CHAPTER OVERVIEW
1. BANK RISK MANAGEMENT
1.1 1.2 1.3 1.4
1.5 1.6 1.7 1.8
INTRODUCTION BANKING HISTORY ROLE OF BANKS BALANCE SHEET
SOURCES OF RISK RISK MANAGEMENT REGULATION FINANCIAL PRODUCTS
2. CREDIT SCORING /
2.1 2.2 2.3 2.4
2.5 2.6 2.7
INTRODUCTION SCORING AT DIFFERENT CUSTOMER STAGES SCORE TYPES CREDIT
BUREAUS OVERRIDES BUSINESS OBJECTIVES LIMITATIONS
IX XI
XIII
1
1 2 9
17 23 38 52
59
93
93 95 105 109 111 112 113
3. CREDIT RATINGS 115
3.1 INTRODUCTION 115
3.2 RATING AND SCORING SYSTEMS 117
3.3 RATING TERMINOLOGY 118
3.4 A TAXONOMY OF CREDIT RATINGS 121
3.5 RATING SYSTEM ARCHITECTURE 143
IMAGE 3
VIII CONTENTS
3.6 3.7 3.8 3.9
3.10
4. RISK
4.1 4.2 4.3
4.4 4.5 4.6 4.7 4.8
RATING PHILOSOPHY EXTERNAL RATING AGENCIES RATING SYSTEM AT BANKS
APPLICATION AND USE OF RATINGS
LIMITATIONS
; MODELLING AND MEASUREMENT
INTRODUCTION SYSTEM LIFE CYCLE OVERVIEW OF RATING SYSTEMS AND MODELS
DATA DEFINITION AND COLLECTION DEVELOPMENT IMPLEMENTATION APPLICATION
AND FOLLOW-UP
VALIDATION, QUALITY CONTROL AND BACKTESTING
5. PORTFOLIO MODELS FOR CREDIT RISK
5.1 5.2 5.3 5.4
5.5 5.6 5.7 5.8
5.9
INTRODUCTION LOSS DISTRIBUTION MEASURES OF PORTFOLIO RISK CONCENTRATION
AND CORRELATION PORTFOLIO MODEL FORMULATIONS
OVERVIEW OF INDUSTRY MODELS BASEL II PORTFOLIO MODEL IMPLEMENTATION AND
APPLICATION
ECONOMIC CAPITAL AND CAPITAL ALLOCATION
6. BASEL II
6.1 6.2 6.3
6.4 6.5 6.6 6.7
6.8
INTRODUCTION BANK CAPITAL PILLAR 1 (MINIMUM CAPITAL REQUIREMENTS) PILLAR
2 (SUPERVISORY REVIEW PROCESS) PILLAR 3 (MARKET DISCIPLINE) INFORMATION
TECHNOLOGY ASPECTS MARKET IMPACT
FUTURE EVOLUTION
REFERENCES INDEX
145 148 157 162
165
168
168 170 174 201
251 264 265 266
273
273 274 278 285
292 306 312 325 327
344
344 350 354 418 431 441 452 479
483 519
|
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| discipline | Wirtschaftswissenschaften |
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| indexdate | 2024-12-20T13:15:35Z |
| institution | BVB |
| language | English |
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| publishDate | 2009 |
| publishDateSearch | 2009 |
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| publisher | Oxford University Press |
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| spellingShingle | Van Gestel, Tony Baesens, Bart 1975- Credit risk management basic concepts ; financial risk components, rating analysis, models, economic and regulatory capital Crédit ram Credit Financial risk management Risikomanagement (DE-588)4121590-4 gnd Kreditgeschäft (DE-588)4134687-7 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4134687-7 |
| title | Credit risk management basic concepts ; financial risk components, rating analysis, models, economic and regulatory capital |
| title_auth | Credit risk management basic concepts ; financial risk components, rating analysis, models, economic and regulatory capital |
| title_exact_search | Credit risk management basic concepts ; financial risk components, rating analysis, models, economic and regulatory capital |
| title_full | Credit risk management basic concepts ; financial risk components, rating analysis, models, economic and regulatory capital Tony van Gestel (Dexia Group, Risk Management Holding), Bart Baesens (Faculty of Business and Economics, Katholieke Universiteit Leuven, Belgium ; School of Management, University of Southampton, United Kingdom ; Vlerick Leuven Ghent Managment School, Belgium) |
| title_fullStr | Credit risk management basic concepts ; financial risk components, rating analysis, models, economic and regulatory capital Tony van Gestel (Dexia Group, Risk Management Holding), Bart Baesens (Faculty of Business and Economics, Katholieke Universiteit Leuven, Belgium ; School of Management, University of Southampton, United Kingdom ; Vlerick Leuven Ghent Managment School, Belgium) |
| title_full_unstemmed | Credit risk management basic concepts ; financial risk components, rating analysis, models, economic and regulatory capital Tony van Gestel (Dexia Group, Risk Management Holding), Bart Baesens (Faculty of Business and Economics, Katholieke Universiteit Leuven, Belgium ; School of Management, University of Southampton, United Kingdom ; Vlerick Leuven Ghent Managment School, Belgium) |
| title_short | Credit risk management |
| title_sort | credit risk management basic concepts financial risk components rating analysis models economic and regulatory capital |
| title_sub | basic concepts ; financial risk components, rating analysis, models, economic and regulatory capital |
| topic | Crédit ram Credit Financial risk management Risikomanagement (DE-588)4121590-4 gnd Kreditgeschäft (DE-588)4134687-7 gnd |
| topic_facet | Crédit Credit Financial risk management Risikomanagement Kreditgeschäft |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016587520&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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