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Title Recovery risk : the next challenge in credit risk management / edited by Edward Altman, Andrea Resti and Andrea Sironi
Published London : Risk Books, [2005]
©2005

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Location Call no. Vol. Availability
 MELB  332.7 Alt/Rrt  UNAVAILABLE C19
Description xxii, 364 pages : illustrations ; 25 cm
Contents Introduction / Edward I. Altman, Andrea Resti, Andrea Sironi -- pt. I. Defining and measuring recovery risk -- What do we know about loss given default? / Til Schuermann -- Defining LGD: the Basel II perspective / Andrea Resti, Andrea Sironi -- Loss given default: a review of the literature / Edward I. Altman, Andrea Resti, Andrea Sironi -- Estimating recovery risk by means of a quantitative model: LossCalc / Greg M. Gupton -- Recovery ratings: a fundamental approach to estimating recovery risk / Willam H. Chew, Steven S. Kerr -- pt. II. Measuring LGD on specific portfolios -- How to measure recoveries and provisions on bank lending: methodology and empirical evidence / Jean Dermine, Cristina Neto de Carvalho -- Recovery rates in the banking industry: stylised facts emerging from the Italian experience / Pierpaolo Grippa, Simonetta Iannotti, Fabrizio Leandri -- Estimating LGD in the leasing industry: empirical evidence from a multivariate model / Giacomo De Laurentis, Marco Riani -- Recovery rates from distressed managment buy-outs / David Citron, Mike Wright -- pt. III. The PD/LGD correlation -- The effects of systematic credit risk: a false sense of security / Jon Frye -- LGD in a structural model of default / Samu Peura, Esa Jokinvuolle -- The PD/LGD link: empirical evidence from the bond market / Edward I. Altman, Brooks Brady, Andrea Resti, Andrea Sironi -- Systematic risk in recovery rates of US corporate credit exposures / Klaus Düllmann, Monika Trapp -- The PD/LGD link: implications for credit risk modelling / Edward I. Altman, Andrea Resti, Andrea Sironi -- Credit risk assessment and stochastic LGD: an investigation of correlation effects / Ali Chabaane, Jean-Paul Laurent, Julien Salomon -- pt. IV. Advanced methodologies -- Choosing the discount factor for estimating economic LGD / Iain Maclachlan -- Estimating "distressed" LGD on defaulted exposures: a portfolio model applied to leasing contracts / Marie-Paule Laurent, Mathias Schmit -- Estimation of recovery rate densities: non-parametric and semi-parametric approaches versus industry practice / Matthias Hagmann, Olivier Renault, Olivier Scaillet -- Estimating conditional probability distributions of recovery rates: a utility-based approach / Craig Friedman, Sven Sandow
Bibliography Includes bibliographical references and index
Subject Credit -- Management.
Risk management.
Author Sironi, Andrea.
Altman, Edward.
Resti, Andrea.
ISBN 1904339506