Testi della didattica
91074  Misurazione del rischio di credito e dei rischi operativi
 
Bibliografia del corso Pagina del corso
Copertina

Advanced credit risk analysis : financial approaches and mathematical models to assess, price and manage credit risk / Didier Cossin and Hughes Pirotte. - Chichester [etc.] : Wiley, c2001

Copertina

An introduction to credit risk modeling / Christian Bluhm, Ludger Overbeck, Christoph Wagner. - 2nd ed.. - Boca Raton (Fla.) [etc.] : Chapman & Hall/CRC, c2010

Risk management and financial institutions / John C. Hull. - 4th ed.. - Hoboken, N.J. : Wiley, c2015

Copertina

Risk management and shareholders' value in banking : from risk measurement models to capital allocation policies / Andrea Sironi, Andrea Resti. - Hoboken (N.J.) : Wiley, 2007

Copertina

Risk management and shareholders' value in banking [Risorsa elettronica] : from risk measurement models to capital allocation policies / Andrea Resti and Andrea Sironi. - Hoboken (N.J.) : Wiley, c2007

Risk management e istituzioni finanziarie / John C. Hull ; traduzione di Emilio Barone. - 4. ed.. - Milano : Pearson Prentice Hall, c2015


Per sapere se il libro è disponibile e in quale biblioteca si trova clicca il titolo.
Clicca l'immagine della copertina (se presente) per collegarti alle pagine del libro su Google Libri.

Altre risorse
Altri testi
Francis A. Longstaff; Eduardo S. Schwartz, (1995),

We develop a simple approach to valuing risky corporate debt that incorporates both default and interest rate risk. We use this approach to derive simple closed-form valuation expressions for fixed and floating rate debt. The model provides a number of interesting new insights about pricing and hedging corporate debt securities. For example, we find that the correlation between default risk and the interest rate has a significant effect on the properties of the credit spread. Using Moody's corporate bond yield data, we find that credit spreads are negatively related to interest rates and that durations of risky bonds depend on the correlation with interest rates. This empirical evidence is consistent with the implications of the valuation model.

   
Jarrow, R. A. and Turnbull, S. M. (1995), 'Pricing Derivatives on Financial Securities Subject to Credit Risk', The Journal of Finance, 50(1): p. 53–85.    
Merton, R. C. (1974), 'On the pricing of the corporate debt', The Journal of Finance, 29 (2): p. 449-470    
Risk management and shareholders' value in banking [Risorsa elettronica] : from risk measurement models to capital allocation policies / Andrea Resti and Andrea Sironi. - Hoboken (N.J.) : Wiley, c2007

Volume disponibile in Ebrary I testi sono consultabili online e scaricabili in formato pdf. Per la lettura è necessario installare Adobe Digital Edition. I libri scaricati sono protetti da DRM: possono essere riprodotti su più dispositivi; il "prestito" dura 14 giorni. I titoli disponibili in ebrary sono ricercabili anche in BiGsearch

   
Robert A. Jarrow, David Lando, Stuart M. Turnbull, (1997),

This article provides a Markov model for the term structure of credit risk spreads. The model is based on Jarrow and Turnbull (1995), with the bankruptcy process following a discrete state space Markov chain in credit ratings. The parameters of this process are easily estimated using observable data. This model is useful for pricing and hedging corporate debt with imbedded options, for pricing and hedging OTC derivatives with counterparty risk, for pricing and hedging (foreign) government bonds subject to default risk (e.g., municipal bonds), for pricing and hedging credit derivatives, and for risk management

   
The Pricing of Risky Debt when Interest Rates are Stochastic /David C. Shimko, Naohiko Tejima and Donald R. van Deventer (June 1993)

We derive a closed form solution for the valuation of risky discount debt when interest rates are stochastic. We extend Merton's [1974] approach to risky discount debt valuation under constant interest rates to the stochastic interest rate environment of Vasicek [1977]. Business risk is modelled as a geometric Brownian motion that is correlated with interest rates. We derive and explore the relationship between the credit premium and the term premium of corporate debt. In a banking environment, the results can also be applied to analyze (a) the allocation of capital to banking activities of varying credit risk and interest rate risk, (b) the measurement of relative capital adequacy when compared to peer banks, and (c) the interest rate risk-minimizing funding strategy.

   
Database
EIKON    

Puoi estendere la tua ricerca interrogando le banche dati segnalate.
Apri l'elenco completo

Le biblioteche acquistano più copie dei testi delle bibliografie dei corsi.
Una copia è riservata alla consultazione e non viene data in prestito.