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## Risk modelling and measurement

*Tony Van Gestel and Bart Baesens*

### in Credit Risk Management: Basic Concepts: Financial Risk Components, Rating Analysis, Models, Economic and Regulatory Capital

- Published in print:
- 2008
- Published Online:
- January 2009
- ISBN:
- 9780199545117
- eISBN:
- 9780191720147
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199545117.003.0004
- Subject:
- Mathematics, Applied Mathematics, Mathematical Finance

This chapter highlights the conceptual aspects of a rating system without focusing on mathematical and technical aspects. An overview is provided of the different aspects of risk measurement and ... More

## Bank risk management

*Tony Van Gestel and Bart Baesens*

### in Credit Risk Management: Basic Concepts: Financial Risk Components, Rating Analysis, Models, Economic and Regulatory Capital

- Published in print:
- 2008
- Published Online:
- January 2009
- ISBN:
- 9780199545117
- eISBN:
- 9780191720147
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199545117.003.0001
- Subject:
- Mathematics, Applied Mathematics, Mathematical Finance

This chapter presents a broad overview of banking and risk management. The chapter provides a banking history overview. Topics covered include the key role of banks in the economy as brokers and ... More

## Portfolio models for credit risk

*Tony Van Gestel and Bart Baesens*

### in Credit Risk Management: Basic Concepts: Financial Risk Components, Rating Analysis, Models, Economic and Regulatory Capital

- Published in print:
- 2008
- Published Online:
- January 2009
- ISBN:
- 9780199545117
- eISBN:
- 9780191720147
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199545117.003.0005
- Subject:
- Mathematics, Applied Mathematics, Mathematical Finance

This chapter discusses portfolio models. The main components of the risk of a single loan, exposure at default, loss given default and probability of default, impact on an aggregated level the ... More

## Profit scoring and dynamic models

*Lyn C. Thomas*

### in Consumer Credit Models: Pricing, Profit and Portfolios

- Published in print:
- 2009
- Published Online:
- May 2009
- ISBN:
- 9780199232130
- eISBN:
- 9780191715914
- Item type:
- chapter

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199232130.003.0004
- Subject:
- Mathematics, Applied Mathematics, Mathematical Finance

This chapter begins by reviewing the role of behavioural scoring and risk/reward matrices in the way a lender manages borrowers. It points out that current methods do not allow for the future changes ... More

## Consumer Credit Models: Pricing, Profit and Portfolios

*Lyn C. Thomas*

- Published in print:
- 2009
- Published Online:
- May 2009
- ISBN:
- 9780199232130
- eISBN:
- 9780191715914
- Item type:
- book

- Publisher:
- Oxford University Press
- DOI:
- 10.1093/acprof:oso/9780199232130.001.1
- Subject:
- Mathematics, Applied Mathematics, Mathematical Finance

Credit scoring — the quantitative and statistical techniques which assess the credit risks when lending to consumers — has been one of the most successful if unsung applications of mathematics in ... More

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