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34. 36.~38. 找不到檔案可供分享
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Credit Risk Measurement and Management
Level II ExamWeight: 20%, Full ExamWeight: 10%
32. Adam Ashcroft and Til Schuermann, “Understanding the Securitization of Subprime Mortgage Credit,”
Federal Reserve Bank of New York Staff Reports, no. 318 (March 2008). Copy of article is available at
www.GARPDigitalLibrary.org.
32. Understanding the Securitization of Subprime Mortgage Credit.pdf
(439.83 KB)
33. Eduardo Canabarro and Darrell Duffie, “Measuring and Marking Counterparty Risk” in ALM of Financial
Institutions, ed. Leo Tilman (London: Euromoney Institutional Investor , 2003). Copy of article is available at
www.GARPDigitalLibrary.org.
33. Measuring and Marking Counterparty Risk.pdf
(48.05 KB)
34. Christopher Culp, Structured Finance and Insurance: The Art of Managing Capital and Risk (Hoboken: JohnWiley
& Sons, 2006).
• Chapter 12 . . . . . . . . . . Credit Derivatives and Credit Linked Notes
• Chapter 13 . . . . . . . . . . The Structuring Process
• Chapter 16 . . . . . . . . . . Securitization
• Chapter 17 . . . . . . . . . . Cash Collateralized Debt Obligations
• Chapter 18 . . . . . . . . . . Synthetic Collateralized Debt Obligations
35. Caouette, Altman, Narayanan and Nimmo, Managing Credit Risk, 2nd Edition.
• Chapter 18 . . . . . . . . . . Introduction to Portfolio Approaches
• Chapter 19 . . . . . . . . . . Economic Capital and Capital Allocation
• Chapter 20 . . . . . . . . . . Application of Portfolio Approaches
35. Managing Credit Risk 2nd edition Chapter 18 19 20.pdf
(3.18 MB, 需要: 1 个论坛币)
36. de Servigny and Renault, Measuring and Managing Credit Risk.
• Chapter 3 . . . . . . . . . . . Default Risk: Quantitative Methodologies
• Chapter 4 . . . . . . . . . . . Loss Given Default
37. Hull, Options, Futures, and Other Derivatives, 7th Edition.
• Chapter 22 . . . . . . . . . . Credit Risk
• Chapter 23 . . . . . . . . . . Credit Derivatives
38. Allen, Boudoukh and Saunders, Understanding Market, Credit and Operational Risk.
• Chapter 4 . . . . . . . . . . . Extending the Var Approach to Non-tradable Loans
39. Stulz, Risk Management & Derivatives.
• Chapter 18 . . . . . . . . . . Credit Risks and Credit Derivatives
39. Risk Management and Derivatives chapter 18.pdf
(411.78 KB, 需要: 1 个论坛币)
40. Ong, Internal Credit Risk Models.
• Chapter 6 . . . . . . . . . . . Portfolio Effects: Risk Contributions and Unexpected Losses
40. Internal Credit Risk Models Chapter 6.pdf
(459.04 KB, 需要: 1 个论坛币)
41. “Studies on credit risk concentration: an overview of the issues and a synopsis of the results from the
Research Task Force project” (Basel Committee on Banking Supervision Publication, November 2006).
Copy of the article is available at www.GARPDigitalLibrary.org.
41. Studies on credit risk concentration.pdf
(184.16 KB)
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