1. Auflage - Januar 2003
119,- Euro
2003. 286 Seiten, Hardcover
- Handbuch/Nachschlagewerk -
ISBN-10: 0-470-84752-2
ISBN-13: 978-0-470-84752-7 - John Wiley & Sons

Preis inkl. Mehrwertsteuer zzgl. Versandkosten.







Kurzbeschreibung
In order for a bank to calculate whether it is likely to be profitable to make a loan to a company it is necessary to estimate the cost of making the loan. Of course, there are many risks involved and it is the successful management and calculation of those risks that will enable the bank to assess the viability of any loan. This book contains a new approach to assessing and estimating the risks involved and develops a model that permits calculation of the total lending costs. The proposed model has the potential to improve banks' loan business significantly, and will be of great benefit to those in the banking industry.

Aus dem Inhalt
Preface 1.

Preface 2.

Part I: Outline.

Introduction.

Rating system.

Part II: Mathematical Foundations of the Model.

Probability model: Development of psi_j.

Calculation of the shortfall risk hedging rate in the special case of shortfall risks being constant.

Calculation of the shortfall risk hedging rate in the general case of variable shortfall risk.

Shortfall risk on uncovered loans on the basis of statistics.

Part III: Option-Theory Loan Risk Model.

Shortfall risk on uncovered loans to companies on the basis of an option-theory approach.

Loans covered against shortfall risk.

Calculation of the combination of loans with the lowest interest costs.

Part IV: Implementation in practice.

Procedure - according to the model - for assessing the risk in lending to a company.

Applications.

Final considerations.

Appendix 1: Notation.

Appendix 2: Excel worksheet.

Appendix 3: Property price index.

Appendix 4: Chapter 3 - Derivations.

Appendix 5: Chapter 4 - Derivations.

Appendix 6: Chapter 5 - Derivations.

Bibliography.

Index.