Rating based modeling of credit risk : theory and application of migration matrices /

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In the last decade rating-based models have become very popular in credit risk management. These systems use the rating of a company as the decisive variable to evaluate the default risk of a bond or loan. The popularity is due to the straightforwardness of the approach, and to the upcoming new capi...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Trueck, Stefan
Otros Autores: Rachev, S. T. (Svetlozar Todorov)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: London ; Burlington, MA : Academic, ©2009.
Colección:Academic Press advanced finance series.
Temas:
Credit > Management.
Risk management.
Credit ratings.
Credit > Management > Mathematical models.
Crédit > Gestion.
Gestion du risque.
Cotes de solvabilité.
Crédit > Gestion > Modèles mathématiques.
risk management.
BUSINESS & ECONOMICS > Marketing > General.
BUSINESS & ECONOMICS > Distribution.
BUSINESS & ECONOMICS > Finance.
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • 1. Introduction: Credit Risk Modeling, Ratings and Migration Matrices
  • 2. Rating and Scoring Techniques
  • 3. The New Basel Capital Accord
  • 4. Rating Based Modeling
  • 5. Migration Matrices and the Markov Chain Approach
  • 6. Stability of Credit Migrations
  • 7. Measures for Comparison of Transition Matrices
  • 8. Real World and Risk-Neutral Transition Matrices
  • 9. Conditional Credit Migrations: Adjustments and Forecasts
  • 10. Dependence Modeling and Credit Migrations
  • 11. Credit Derivatives.

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