|
BCBS01 | Basel Commitee on Banking Supervision (2001),
The New Basel Capital Accord,
Basel, January. |
BCBS01a | Basel Commitee on Banking Supervision (2001a),
Update on the New Basel Capital Accord,
Basel, 25 June. |
BCBS01b | Basel Commitee on Banking Supervision (2001b),
Progress towards completion of the new Basel Capital Accord,
Basel, 13 December. |
Bee-cap05-fig1 | Bee , M. (2008),
Grafico dei percorsi simulati da un moto browniano (Figura 1 pag. 186),
Programma Matlab. |
Bee-cap06-par6.6 | Bee , M. (2008),
Esempio di applicazione del modello di Hickman e Wollman (par. 6.6),
Programma Matlab. |
BluhmOverbeckWagner02 | Bluhm , C. - Overbeck , L. - Wagner , C. (2002),
An Introduction to Credit Risk Modeling,
Chapman e Hall, London. |
BorioLowe01 | Borio , C. - Lowe , P. (2001),
La problematica degli accantonamenti per perdite su crediti,
in Rassegna trimestrale BRI, settembre. |
BouyeDurrlemanNikeghbaliRibouletRoncalli00 | Bouye , E. - Durrleman , V. - Nikeghbali , A. - Riboulet , G. - Roncalli , T. (2000),
Copulas for Finance,
Crédit Lyonnais
Crédit Lyonnais, Groupe de Recherche Opérationnelle, Paris, July 23. |
CommitteeontheGlobalFinancialSystem03 | Committee on the Global Financial System (2003),
Credit Risk Transfer,
Bank for International Settlements, Basel, January Web Download. |
CossinPirotte00 | Cossin , D. - Pirotte , H. (2000),
Advanced Credit Risk Analysis,
John Wiley & Sons, New York. |
Das00 | Das , S. (2000),
Credit Derivatives & Credit Linked Notes: Trading & Management of Credit & Default Risk,
John Wiley & Sons, New York. |
DasFreedGengKapadia04 | Das , S. - Freed , L. - Geng , G. - Kapadia , N. (2004),
Correlated Default Risk,
June Web Download. |
Delaurentis01 | De Laurentis , G. (2001),
Rating interni e credit risk management. L'evoluzione dei processi di affidamento bancari,
Bancaria Editrice, Roma. |
DeMarzo05 | De Marzo , P. (2005),
The Pooling and Tranching of Securities: A Model of Informed Intermediation,
in Review of Financial Studies, vol. 18, nr. 1, pagg. 1-35. |
DeZordo04 | De Zordo , A. (2004),
La gestione del rischio di credito. Sviluppo ed applicazione degli strumenti derivati su crediti,
ALEA - Centro di ricerca sui rischi finanziari, Università di Trento, Tech Reports, Trento, nr. 19, aprile Web Download. |
DhaeneVanduffelTangGoovaertsKaasVyncke04 | Dhaene , J. - Vanduffel , S. - Tang , Q. - Goovaerts , M. - Kaas , R. - Vyncke , D. (2004),
Solvency Capital, Risk Measures and Comonotonicity: A Review,
July 14 Web Download. |
Diamond84 | Diamond , D. (1984),
Financial Intermediation and Delegated Monitoring,
in Review of Economic Studies, n.51, pagg. 393-414. |
Diamond91 | Diamond , D. (1991),
Monitoring and Reputation: The Choice between Bank Loans and Directly Placed Debt,
in Journal of Political Economy, n.4, pagg.689-721. |
DuffieSingleton03 | Duffie , D. - Singleton , K. (2003),
Credit Risk: Pricing, Management, and Measurement,
Princeton University Press, Princeton. |
EomHelwegeHuang04 | Eom , Y. - Helwege , J. - Huang , J. (2004),
Structural Models of Corporate Bond Pricing: An Empirical Analysis,
in Review of Financial Studies, vol. 17, pagg. 499-544. |
Erzegovesi-cap04 | Erzegovesi , L. (2008),
Esempi sulle distribuzioni discrete,
Fogli di calcolo Excel. |
Erzegovesi-cap07 | Erzegovesi , L. (2008),
Esempio sul modello Moody's BET,
Foglio di calcolo Excel. |
Erzegovesi-cap08.1-3 | Erzegovesi , L. (2008),
Esempi sui modelli Basilea 2 Prima parte,
Fogli di calcolo Quantrix Modeler su coefficienti di capitale, modello double default, distribuzioni con il modello di Vasicek.
Una versione di prova di Quantrix Modeler può essere scaricata dal sito http://www.quantrix.com. |
EuropeanCentralBank04 | European Central Bank (2004),
Credit risk transfer by EU banks: activities, risks and risk management,
European Central Bank, Banking Supervision Committee, Frankfurt, May Web Download. |
Fei01a | Fondo Europeo Investimenti (2001a),
SME guarantee facility,
FEI. |
Finger02 | Finger , C. (2002),
CreditGrades Technical Document,
Risk Metrics Group, May. |
FitchRatings03 | FitchRatings (2003),
Global Credit Derivatives: Risk Management or Risk?,
Credit Policy, Special Report, March 10 Web Download. |
GoovaertsvandenBorreLaeven05 | Goovaerts , M. - van den Borre , E. - Laeven , R. (2005),
Managing Economic and Virtual Economic Capital Within Financial Conglomerates,
February 7 Web Download. |
GregoryLaurent04 | Gregory , J. - Laurent , J. (2004),
In the Core of Correlation,
April Web Download. |
HickmanWollman02 | Hickman , A. - Wollman , J. (2002),
An Evolutionary Leap in Credit Portfolio Risk Modeling,
Erisk.com, New York, December 18th Web Download. |
JacobsonLindéRoszbach04 | Jacobson , T. - Lindé , J. - Roszbach , K. (2004),
Credit risk versus capital requirements under Basel II: are SME loans and retail credit really different?,
Sveriges Riksbank, Working Papers Series, Stockholm, No. 162, April Web Download. |
Martin04 | Martin , R. (2004),
Credit Portfolio Modeling Handbook,
Credit Suisse First Boston, The Quantitative Credit Strategist, October 29 Web Download. |
ModyPatro96 | Mody , A. - Patro , D. (1996),
Methods of Loan Guarantee Valuation and Accounting,
Research Paper, World Bank. |
OesterreichischeNationalbank04 | Oesterreichische Nationalbank (2004),
Best Practices in Risk Management for Securitized Products,
Oesterreichische Nationalbank, Guidelines on Credit Risk Management, Wien, December Web Download. |
Persaud02 | Persaud , A. (2002),
Where Have All the Risks Gone?,
Erisk.com, Feature Articles, November 22 Web Download. |
Schönbucher03 | Schönbucher , P. J. (2003),
Credit Derivatives Pricing Models: Model, Pricing and Implementation,
John Wiley & Sons, New York. |
Schuermann04 | Schuermann , T. (2004),
What Do We Know About Loss Given Default?,
Federal Reserve Bank of New York, New York, February Web Download. |
SkoglundNystrom04 | Skoglund , J. - Nystrom , K. (2004),
Portfolio Credit Risk Revisited,
Stockholm, March 2 Web Download. |
Standard&Poors01 | Standard & Poor's (2001),
Corporate Ratings Criteria,
Standard & Poor's. |
TrucharteArtigas04 | Trucharte Artigas , C. (2004),
A Review of Credit Registers and their Use for Basel II,
Bank for International Settlements, Financial Stability Institute Occasiona Papers, Basel, September Web Download. |
WorldBank98 | World Bank (1998),
World Bank Guarantees Handbook,
World Bank. |
| |