Lau, Ka Ho. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 46-48). / Abstract also in Chinese. / Chapter 1 --- Introduction to Global Credit Risk Management Standard --- p.1 / Chapter 1.1 --- Background --- p.2 / Chapter 1.2 --- Basel Accords --- p.2 / Chapter 1.3 --- Risk Bucketing --- p.7 / Chapter 2 --- Current Practices of Risk Bucketing and PD Estimation --- p.10 / Chapter 2.1 --- Credit Scoring --- p.10 / Chapter 2.2 --- Risk Bucketing after Credit Scoring --- p.12 / Chapter 2.3 --- Related Literature Review --- p.14 / Chapter 2.4 --- Objective --- p.16 / Chapter 3 --- Bayesian Model for risk bucketing --- p.17 / Chapter 3.1 --- The Model --- p.17 / Chapter 3.2 --- Posterior Distribution --- p.19 / Chapter 3.3 --- Gibbs Sampler for the Posterior Distribution --- p.22 / Chapter 3.3.1 --- General Gibbs Sampler Theory --- p.22 / Chapter 3.3.2 --- The Gibbs Sampler for the Proposed Model --- p.23 / Chapter 3.4 --- Monitoring Convergence of the Gibbs Sampler --- p.26 / Chapter 3.5 --- "Estimation, Bucketing and Prediction" --- p.28 / Chapter 3.5.1 --- Estimation --- p.28 / Chapter 3.5.2 --- Bucketing --- p.28 / Chapter 3.5.3 --- Prediction --- p.29 / Appendix --- p.29 / Chapter 4 --- Simulation Studies and Real Data Analysis --- p.32 / Chapter 4.1 --- Simulation Studies --- p.32 / Chapter 4.1.1 --- Details of Simulation --- p.32 / Chapter 4.1.2 --- Simulation Procedures --- p.34 / Chapter 4.1.3 --- Predictive Performance --- p.35 / Chapter 4.1.4 --- Summary of Simulation Results --- p.36 / Chapter 4.2 --- Real Data Analysis --- p.37 / Chapter 5 --- Conclusion and Discussion --- p.44 / Bibliography --- p.46
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_326860 |
| Date | January 2009 |
| Contributors | Lau, Ka Ho., Chinese University of Hong Kong Graduate School. Division of Risk Management Science. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, viii, 48 leaves : ill. (some col.) ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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