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Journal of Credit Risk

  Publisher: Incisive Media
  Price: USD 1,099.00 per year
 

Description:

With the re-writing of the Basel accords in international banking and their ensuing application, interest in credit risk has never been greater.

Topics covered in the journal include:
  • Modelling and management of portfolio credit risk.
  • Recent advances in parameterizing credit risk models: default probability estimation, copulas and credit risk correlation, recoveries and loss given default, collateral valuation, loss distributions and extreme events.
  • Pricing and hedging of credit derivatives.
  • Structured credit products and securitizations e.g. collateralized debt obligations, synthetic securitizations, credit baskets, etc.
  • Measuring managing and hedging counterparty credit risk.
  • Credit risk transfer techniques.
  • Liquidity risk and extreme credit events.
  • Regulatory issues, such as Basel II, internal ratings systems, credit-scoring techniques and credit risk capital adequacy.
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