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Credit Engineering for Bankers, 2nd Edition by Johnathan Mun, Morton Glantz

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Chapter 14 Quantitative Credit and Market Risk Analysis: Analytical Techniques for Modeling Probability of Default, Loss Given Default, Economic Capital, Value at Risk, Portfolio Optimized Value at Risk, Interest Rates and Yield Curve, Delta-Gamma Hedging, Floating and Fixed Rates, Foreign Exchange Risk Hedging, Volatility, Commodity Prices, and Over-the-Counter Exotic Options

Chapter Outline

  • Probability of Default 335
    • Structural Models of Probability of Default 335
    • Illustrative Example: Structural Probability of Default Models on Public Firms 336
    • Illustrative Example: Structural Probability of Default Models on Private Firms 337
  • Empirical Models of Probability of Default 340
    • Illustrative Example on Applying Empirical Models of Probability ...

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