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Risk-Adjusted Lending Conditions
An Option Pricing Approach
Werner Rosenberger (Author)
9780470847527, Wiley
Hardback, published 21 January 2003
192 pages
25.4 x 17.1 x 1.8 cm, 0.539 kg
Dieses Buch bietet einen neuen Ansatz zur Bewertung und Ermittlung des Kreditrisikos bei Banken.
"Risk Adjusted Lending Conditions" stellt ein neues Modell vor, mit dessen Hilfe Banken die Gesamtkreditkosten ermitteln können.
Der Band demonstriert anschaulich, wie diese neue Methode in der Praxis angewendet wird.
Mit ausführlichem und durchgearbeitetem Beispielmaterial.
Mit Excel Spreadsheets.
Vermittelt einen umfassenden Überblick.
Preface 1. Preface 2. Part I: Outline. Introduction. Rating system. Part II: Mathematical Foundations of the Model. Probability model: Development of ψj. Calculation of the shortfall risk hedging rate in the special case of shortfall risks being constant. Calculation of the shortfall risk hedging rate in the general case of variable shortfall risk. Shortfall risk on uncovered loans on the basis of statistics. Part III: Option-Theory Loan Risk Model. Shortfall risk on uncovered loans to companies on the basis of an option-theory approach. Loans covered against shortfall risk. Calculation of the combination of loans with the lowest interest costs. Part IV: Implementation in practice. Procedure – according to the model – for assessing the risk in lending to a company. Applications. Final considerations. Appendix 1: Notation. Appendix 2: Excel worksheet. Appendix 3: Property price index. Appendix 4: Chapter 3 – Derivations. Appendix 5: Chapter 4 – Derivations. Appendix 6: Chapter 5 – Derivations. Bibliography. Index.
Subject Areas: Finance & accounting [KF]
