 |
 | Capital budgeting - allocation |
| |
| GoovaertsvandenBorreLaeven05 | Goovaerts , M. - van den Borre , E. - Laeven , R. (2005),
Managing Economic and Virtual Economic Capital Within Financial Conglomerates,
February 7 Web Download. | Applicazione a gruppi | |
| Credit derivatives |
| |
| 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 | |
| Das00 | Das , S. (2000),
Credit Derivatives & Credit Linked Notes: Trading & Management of Credit & Default Risk,
John Wiley & Sons, New York. | Inquadramento, Pricing e hedging | |
| 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. | Inquadramento | |
| 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 | |
| FitchRatings03 | FitchRatings (2003),
Global Credit Derivatives: Risk Management or Risk?,
Credit Policy, Special Report, March 10 Web Download. | Evoluzione mercato, Aspetti di vigilanza | |
| Persaud02 | Persaud , A. (2002),
Where Have All the Risks Gone?,
Erisk.com, Feature Articles, November 22 Web Download. | Evoluzione mercato | |
| Schönbucher03 | Schönbucher , P. J. (2003),
Credit Derivatives Pricing Models: Model, Pricing and Implementation,
John Wiley & Sons, New York. | Pricing e hedging | |
|
| |
| 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. | Applicazioni dell'option pricing | |
|
| |
| 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 |
| |
| 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. | Copula functions | |
| Titoli strutturati e securitization |
| |
| OesterreichischeNationalbank04 | Oesterreichische Nationalbank (2004),
Best Practices in Risk Management for Securitized Products,
Oesterreichische Nationalbank, Guidelines on Credit Risk Management, Wien, December Web Download. | Rating, Risk management | |
| Titoli strutturati e securitization - CDO |
| |
| 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. | SME loans | |
| GregoryLaurent04 | Gregory , J. - Laurent , J. (2004),
In the Core of Correlation,
April Web Download. | Models, Correlazione | |
| VAR |
| |
| 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. | Confronto tra metodologie | |
| Vigilanza |
| |
| 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 | |
| Volatilità implicita |
| |
| GregoryLaurent04 | Gregory , J. - Laurent , J. (2004),
In the Core of Correlation,
April Web Download. | Models, Correlazione | |
| (Not Categorized) |
| |
| 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. | | |
| BorioLowe01 | Borio , C. - Lowe , P. (2001),
La problematica degli accantonamenti per perdite su crediti,
in Rassegna trimestrale BRI, settembre. | | |
| Delaurentis01 | De Laurentis , G. (2001),
Rating interni e credit risk management. L'evoluzione dei processi di affidamento bancari,
Bancaria Editrice, Roma. | | |
| 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. | | |
| Fei01a | Fondo Europeo Investimenti (2001a),
SME guarantee facility,
FEI. | | |
| ModyPatro96 | Mody , A. - Patro , D. (1996),
Methods of Loan Guarantee Valuation and Accounting,
Research Paper, World Bank. | | |
| Standard&Poors01 | Standard & Poor's (2001),
Corporate Ratings Criteria,
Standard & Poor's. | | |
| WorldBank98 | World Bank (1998),
World Bank Guarantees Handbook,
World Bank. | | |
| |