February 2006
Beginner to intermediate
252 pages
6h 44m
English
Content preview from The Credit Market Handbook: Advanced Modeling IssuesBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.
Index
A
Abramowitz, M., 216
ABRS, 67
Accuracy ratio, 145. See also Hull-White model; Merton model; Vasicek-Kealhofer model
Actuarial science, 84
Adams, K, 34
Aggregate debt structure, 45
Agrawal, D., 163
All-orders result, 177
Altman, E., 34, 62, 75, 99, 184
Andersen, P., 99
Anderson, R., 62
Anderson and Darling Statistic, 203
Anderson-Darling criterion, 208
Andrade, G., 62
Ang, A., 216
A-rated debt, default probabilities (L-T model usage), 50
Arora, Navneet, 163
Asset liquidity, 43
Asset process, systematic risk, 145
Asset volatility, 138
estimation, 48
generation, 138
increase, 52
Asset-liability ratios, 43
Asymmetric correlation, presence, 206
Asymmetric exceedance correlations. See PDs
B
Baa-rated debt, default probabilities, 53
L-S model, usage, 51
L-T model, usage, 48
Backward substitutions, 108, 111
Bakshi, F., 130
Balance sheet data, unavailability, 8
Bangia, A., 99
Bankruptcy
costs/taxes, impact, 133
histories, 2
Base case
default probability/horizon contrast, 56
good fit, 50
table, 47
Baseline intensity. See Time-varying baseline intensity
Basle Committee on Banking Supervision, 187
Beta distribution, usefulness, 68
Bharath, S., 75
Bhatia, M., 76
Biostatistics, 84
Bivariate intensity
non-parametric estimator, 83
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Read now
Unlock full access
More than 5,000 organizations count on O’Reilly
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.