UID:
almafu_9959328594402883
Format:
1 online resource (xiv, 169 pages) :
,
illustrations
ISBN:
0470859172
,
9780470859179
,
0470847522
,
9780470847527
,
0470013249
,
9780470013243
Series Statement:
Wiley finance series
Uniform Title:
Risikoadäquate Kreditkonditionen.
Content:
In order to operate their lending business profitably, banks must know all the costs involved in granting loans. In particular, all the expenses they incur in covering losses must be included. Provided loan risks can be calculated, it is possible in each case to charge a price that is appropriately adjusted for risk, thus making it possible to make high-risk loans. In ""Risk-adjusted Lending Conditions"" the author presents a model, to measure and calculate loan risks, showing how it functions and how it may be applied. His approach has its origins in the ideas put forward by Black/Scho.
Note:
Risk-adjusted Lending Conditions; Contents; Preface 1; Preface 2; Part I Outline; 1 Introduction; 1.1 The problem; 1.2 Narrowing the subject down, setting the objective and subdividing it; 1.3 The insurance concept; 1.4 Types of problem in the context of loan business; 1.5 Loan interest rate model; 1.6 Model for calculating risk surcharge; 1.7 Assumptions; 1.8 Testing the model; 1.9 Loan exposure models; 1.9.1 Classical methods; 1.9.2 Modern credit risk analysis based on financial theory; 1.9.3 The model presented here seen in relation to previous models; 2 Rating system.
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2.1 The need for a rating system2.2 Defining shortfall risk in terms of figures; 2.3 Defining the credit-worthiness key figure; 2.4 Example of a rating system in terms of figures; 2.5 Amplification of the rating system for very competitive markets; Part II Mathematical Foundations of the Model; 3 Probability model: Development of y(j); 3.1 Determining the probability of cash flows being fulfilled; 3.2 Maturity transformation; 3.3 Conclusions; 3.3.1 The case of a loan being granted indefinitely; 3.3.2 Reflections on the success chance e(n); 3.4 Results and conclusions.
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4 Calculation of the shortfall risk hedging rate in the special case of shortfall risks being constant4.1 Fixed advance without repayments; 4.2 Fixed advance with regular repayments; 4.3 Loans on regular annual repayment; 4.4 Current account credit; 4.5 Loan assessment; 4.6 Conclusions; 4.6.1 Minimum loan interest rate; 4.6.2 Effective profit contribution rate; 4.6.3 Effective shortfall risk hedging rate; 4.6.4 Maximum shortfall risk covered; 4.7 Results and conclusions; 4.8 Example; 5 Calculation of the shortfall risk hedging rate in the general case of variable shortfall risk.
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5.1 Fixed interest loan without repayments5.2 Approximate solution for fixed interest loan without repayments; 5.3 Reliability of the approximate solution; 5.4 Fixed advance with complete repayment; 5.5 Fixed advance with partial repayments; 5.6 Current account loans; 5.7 Results and conclusions; 6 Shortfall risk on uncovered loans on the basis of statistics; 6.1 Private clients; 6.1.1 Unearned income and income from self-employment; 6.1.2 Income from salaried employment; 6.1.3 Investment income and assets; 6.2 Companies; Part III Option-Theory Loan Risk Model.
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7 Shortfall risk on uncovered loans to companies on the basis of an option-theory approach7.1 Difference in approach between Black/Scholes and KMV, together with further elaboration; 7.2 Derivation of basic formulae; 7.3 Derivation of risk-adjusted values; 7.4 Definition of the values for the solution formula; 7.4.1 The value of the company and its debt rate; 7.4.2 Volatility; 7.4.3 Private debtors; 7.5 Influence of individual parameters on the credit shortfall risk; 7.6 Risk of bankruptcy and breakdown distribution; 7.7 Loan assessment; 7.8 Bonds.
Additional Edition:
Print version: Rosenberger, Werner. Risk-adjusted lending conditions. Chichester, West Sussex, England : Wiley, ©2003 ISBN 0470847522
Language:
English
Keywords:
Electronic books.
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Electronic books.
;
Electronic books.
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/0470013249
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/0470013249
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/0470013249
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