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 | Capital budgeting - allocation |
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| Obbligazioni di imprese |
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| BluhmOverbeckWagner02 | Bluhm , C. - Overbeck , L. - Wagner , C. (2002),
An Introduction to Credit Risk Modeling,
Chapman e Hall, London. | Portfolio models | |
| CommitteeontheGlobalFinancialSystem03 | Committee on the Global Financial System (2003),
Credit Risk Transfer,
Bank for International Settlements, Basel, January Web Download. | , Inquadramento | |
| CossinPirotte00 | Cossin , D. - Pirotte , H. (2000),
Advanced Credit Risk Analysis,
John Wiley & Sons, New York. | Modelli di valutazione, Pricing e hedging | |
| DasFreedGengKapadia04 | Das , S. - Freed , L. - Geng , G. - Kapadia , N. (2004),
Correlated Default Risk,
June Web Download. | Correlazione tra insolvenze | |
| DuffieSingleton03 | Duffie , D. - Singleton , K. (2003),
Credit Risk: Pricing, Management, and Measurement,
Princeton University Press, Princeton. | Modelli di valutazione, Pricing e hedging | |
| 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. | Credit risk transfer, Evoluzione mercato | |
| Finger02 | Finger , C. (2002),
CreditGrades Technical Document,
Risk Metrics Group, May. | Merton models, Pricing e hedging | |
| HickmanWollman02 | Hickman , A. - Wollman , J. (2002),
An Evolutionary Leap in Credit Portfolio Risk Modeling,
Erisk.com, New York, December 18th Web Download. | Portfolio models | |
| 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. | Modelli di valutazione, Basilea 2, SME | |
| Martin04 | Martin , R. (2004),
Credit Portfolio Modeling Handbook,
Credit Suisse First Boston, The Quantitative Credit Strategist, October 29 Web Download. | Portfolio models | |
| Schuermann04 | Schuermann , T. (2004),
What Do We Know About Loss Given Default?,
Federal Reserve Bank of New York, New York, February Web Download. | Modelli di valutazione | |
| SkoglundNystrom04 | Skoglund , J. - Nystrom , K. (2004),
Portfolio Credit Risk Revisited,
Stockholm, March 2 Web Download. | Portfolio models | |
| 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. | Centrali dei rischi (Credit reporting systems) | |
| Statistica multivariata avanzata |
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| Titoli strutturati e securitization |
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| Titoli strutturati e securitization - CDO |
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| VAR |
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| Volatilità implicita |
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