Credit Risk: From Transaction to Portfolio Management

Credit Risk: From Transaction to Portfolio Management

Volumn , Issue , 2003, Pages 1-256

  Kimber, Andrew ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84902408990     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1016/B978-0-7506-5667-2.X5000-9     Document Type: Book

References (38)

1. Gupton, Finger and Bhatia, Credit MetricsTM-Technical Document, Risk Metrics Group.
2. TM for Private Companies: UK February 2002, Moody's Investors Service.
3. Jarrow, Turnbull Pricing Derivatives on Financial Securities Subject to Credit Risk. Journal of Finance 1995, Vol. 50.
4. Jaschke The Cornish-Fischer Expansion in the Context of Delta-Gamma Normal Approximations. Journal of Risk Summer 2002, Vol. 4(No. 4).
5. Gupton, Finger and Bhatia, Credit MetricsTM-Technical Document, Risk Metrics Group.
6. Finger, Sticks and Stones, Risk Metrics Group.
7. Koyluoglu, Hickman Reconcilable Differences. Risk October 1998.
8. Phelan, Alexander Different Strokes. Risk October 1999.
9. Wilde IRB Approach Explained. Risk May 2001.
10. Asarnow and Marker, Historical Performance of the US Corporate Loan Market: 1998-1993, The Journal of Commercial Lending, Vol. 10, No. 2.
11. Rhodes et al., Syndicated Lending, Euromoney Publications.
12. Gupton, Finger and Bhatia, 'Credit MetricsTM-Technical Document, Risk Metrics Group.
13. Masters et al. The JP Morgan Guide to Credit Derivatives, Risk Metrics Group.
14. O'Kane, Credit Derivatives Explained, Lehman Brothers.
15. Altman, Kishore Defaults and Returns on High Yield Bonds 1997, New York University Salomon Centre.
16. Carty, Lieberman Corporate Bond Defaults and Default Rates. Moody's Special Report 1996.
17. Caouette, Altman and Narayanan, Managing Credit Risk: The Next Great Financial Challenge, Wiley.
18. Leander Robeco's Synthetic Age. Risk March 2002.
19. Masters et al., The JP Morgan Guide to Credit Derivatives, Risk Metrics Group.
20. O'Kane, Credit Derivatives Explained, Lehman Brothers.
21. O'Kane, McAdie Trading the Default Swap Basis. Risk October 2001.
22. O'Kane and Turnbull, Valuation of Credit Default Swaps. Lehman Brothers.
23. Tavakoli, Credit Derivatives: Guide to Instruments and Applications. Wiley.
24. Deutsche Bank Index Quant System Deutsche Bank Research March 2001.
25. Mark, iBoXX and the Seven R's of Indexing Global Investor December 2001.
26. Bos Kelhoffer, Keisman Recovering from Record Defaults. Credit September 2002.
27. Duffie, Singleton Modeling Term Structures of Defaultable Bonds. Review of Financial Studies 1999.
28. Rennie and Baxter, Financial Calculus, Cambridge University Press.
29. Gupton, Finger and Bhatia, Credit MetricsTM-Technical Document, Risk Metrics Group.
30. Mina and Xiao, Return to Risk Metrics: The Evolution of a Standard, Risk Metrics Group.
31. Risk MetricsTM-Technical Document, Risk Metrics Group.
32. Greenfield The Lehman Brothers Swap Indices. Risk September 2001.
33. Pan Equity to credit pricing. Risk November 2001.
34. Crosbie, Bohn Modeling Default Risk January 2002, KMV.
35. TM for Private Companies: UK February 2002, Moody's Investors Service.
36. TM-Technical Document May 2002, Risk Metrics Group.
37. Brady Corporate Defaults Peak in 2002 amid Record Amounts of Defaults and Declining Credit Quality. Standard and Poor's January 2003.
38. Jarrow, Turnbull Pricing Derivatives on Financial Securities Subject to Credit Risk. Journal of Finance 1995, Vol. 50.