| Description |
1 online resource (489 p.) |
| Contents |
Cover -- Half Title -- Series Page -- Title Page -- Copyright Page -- Table of Contents -- Preface -- Author -- Introduction: Starting with Credit Risk -- Chapter 1 Background of Credit Risk and Java Visualization For Expected Exposure -- 1.1 Financial Risk -- 1.2 Credit Risk -- 1.3 Credit Risk Measure -- 1.4 Monte Carlo -- 1.5 Interest Rate Swap -- 1.6 Analytical Methodology -- Bibliography -- Chapter 2 Theoretical Phase of a Real-World Case Study -- 2.1 Introduction to the Theoretical Phase -- 2.2 Preliminary Notes -- 2.3 Internal Model Method and Exposure |
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2.4 Exposure Regulatory Measures Used -- Bibliography -- Chapter 3 Real-World Case of the Practical Phase For Generating Exposure Regulatory Measures in a Specific Bank with an Internal Model Method -- 3.1 Introduction to a Real-World Case -- 3.2 Calculation Tools Used -- 3.3 Flow to Generate Expected Positive Exposure (Epe) Value -- 3.4 Methodology for the Calculation of Epe -- 3.5 Results of the Calculation -- Bibliography -- Chapter 4 Theoretical Approach of the Real-World Case Phase Related to the Methodology of Scenario Simulation Used For Generating Exposure Regulatory Measures |
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4.1 Introduction of the Theoretical Approach -- Bibliography -- Chapter 5 Generation of a Simulation of a Real-World Case For Generating Exposure Regulatory Measures -- 5.1 Introduction to a Real-World Simulation -- 5.2 Interest Rate Swaps Portfolio -- 5.3 Choice of Observation Days Corresponding to Time Steps -- 5.4 Methodology of Scenario Simulation -- 5.5 Inspect Scenario Prices -- Bibliography -- Chapter 6 Compute Exposure By Counterparty -- 6.1 Introduction to Computation -- 6.2 Portfolio Exposure Profiles -- 6.3 Counterparty Alpha Ltd. Exposure Profile |
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6.4 Counterparty Beta Ltd. Exposure Profile -- 6.5 Counterparty Gamma Ltd. Exposure Profile -- Bibliography -- Chapter 7 First Quantitative Analysis of Portfolio Exposure Profiles -- 7.1 Introduction to the First Analysis -- Bibliography -- Chapter 8 Further Analysis On Portfolio Exposure Profiles Using Zero Rate Vector 0.03 -- 8.1 Portfolio EPE, Portfolio EFF. EPE, and Portfolio MPFE Using Zero Rate Vector 0.03 -- 8.2 Portfolio for Counterparties Alpha Ltd., Beta Ltd., and Delta Ltd.: EPE, EFF. EPE, and MPFE Profiles Using a Different Zero Rate Vector 0.03 |
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8.3 Counterparty Alpha Ltd.: EPE, EFF. EPE, and MPFE Profiles Using Zero Rate Vector 0.03 -- 8.4 Counterparty Beta Ltd.: EPE, EFF. EPE, and MPFE Profiles Using Zero Rate Vector 0.03 -- 8.5 Counterparty Gamma Ltd.: EPE, EFF. EPE, and MPFE Profiles Using Zero Rate Vector 0.03 -- Bibliography -- Chapter 9 Further Analysis of Portfolio Exposure Profiles with Zero Rate Vector 0.06 -- 9.1 Portfolio EPE Profiles Using a Different Zero Rate Vector 0.06 -- 9.2 Portfolio EPE, EFF. EPE, and MPFE Profiles Using Zero Rate Vector 0.06 -- 9.3 Portfolio For Counterparty Alpha Zero Rate 0.06 |
| Notes |
Description based upon print version of record |
| Form |
Electronic book
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| ISBN |
9781000171457 |
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1000171450 |
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