Introduction to credit risk. / Giulio Carlone.

Format:

Book

Author/Creator:

Carlone, Giulio, author.

Language:

English

Subjects (All):

Credit--Management.

Credit.

Financial risk management.

Credit--Technological innovations.

Physical Description:

1 online resource (489 pages) : illustrations

Edition:

1st ed.

Place of Publication:

Boca Raton, Florida ; Oxford, England : CRC Press LLC, [2021]

Summary:

"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. Features Uses an in-depth case study to illustrate multiple factors in counterparty credit risk exposures Suitable for quantitative risk managers at banks, as well as students of finance, financial mathematics, and software engineering Provides the reader with numerous examples and applications"-- Provided by publisher.

Contents:

Background of credit risk and Java visualization for expected exposure

Theoretical phase of a real-world case study

Real-world case of the practical phase for generating exposure regulatory measures in a specific bank with an internal model method

Theoretical approach of the real-world case phase related to the methodology of scenario simulation used for generating exposure regulatory measures

Generation of a simulation of a real-world case for generating exposures regulatory measures

Compute exposure by counterparty

First quantitative analysis of portfolio exposure profiles

Further analysis on portfolio exposure profiles using zero rate vector 0.03

Further analysis on portfolio exposure profiles with zero rate vector 0.06

Generalization of analysis on portfolio exposure profiles with zero rate vectors 0.01, 0.03, and 0.06

Risk perspective of credit valuation adjustment

Further work

Matlab source code strategy further analysis of generation of time step

Expected exposure visualization list of Java Code Packages

Expected exposure visualization list of UML diagram

Credit models using Google Cloud.

Notes:

Includes index.

Description based on print version record.

ISBN:

1-00-303694-5

1-003-03694-5

1-000-17145-0

9781003036944

OCLC:

1222782701