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- W986688291 abstract "Publisher Summary This chapter discusses the quantitative credit risk analytics required to perform credit engineering tasks, specifically the quantification of probability of default, losses given a default event, Value at Risk, and other related topics in the credit risk and market risk world. It discusses the various scientific risk management approaches required to implement an internal ratings-based (IRB) method, as well as the step-by-step models and methodologies in implementing and valuing economic capital, Value at Risk (VaR), probability of default, and loss given default—the key ingredients required in an IRB approach—through the use of advanced analytics such as Monte Carlo and historical risk simulation, portfolio optimization, stochastic forecasting, and options analysis. Probability of default models assess the likelihood of default by an obligor. They differ from regular credit scoring models in several ways." @default.
- W986688291 created "2016-06-24" @default.
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- W986688291 date "2011-01-01" @default.
- W986688291 modified "2023-09-30" @default.
- W986688291 title "Quantitative Credit and Market Risk Analysis" @default.
- W986688291 doi "https://doi.org/10.1016/b978-0-12-378585-5.10014-4" @default.
- W986688291 hasPublicationYear "2011" @default.
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