عنوان

Rating based modeling of credit risk :

شابک

0080920306

شابک

0123736838

شابک

9780080920306

شابک

9780123736833

شماره

b789872

عنوان اصلي

Rating based modeling of credit risk :

نام عام مواد

[Book]

ساير اطلاعات عنواني

theory and application of migration matrices /

نام نخستين پديدآور

Stefan Trueck, Svetlozar T. Rachev.

محل نشرو پخش و غیره

Burlington, MA :

نام ناشر، پخش کننده و غيره

Academic,

تاریخ نشرو بخش و غیره

©2009.

نام خاص و کميت اثر

1 online resource (xii, 266 pages) :

ساير جزييات

illustrations.

عنوان فروست

Academic Press advanced finance series

متن يادداشت

Includes bibliographical references (pages 249-258) and index.

متن يادداشت

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.

بدون عنوان

0

متن يادداشت

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 capital accord (Basel II), which allows banks to base their capital requirements on internal as well as external rating systems. Because of this, sophisticated credit risk models are being developed or demanded by banks to assess the risk of their credit portfolio better by recognizing the different underlying sources of risk. As a consequence, not only default probabilities for certain rating categories but also the probabilities of moving from one rating state to another are important issues in such models for risk management and pricing. It is widely accepted that rating migrations and default probabilities show significant variations through time due to macroeconomics conditions or the business cycle. These changes in migration behavior may have a substantial impact on the value-at-risk (VAR) of a credit portfolio or the prices of credit derivatives such as collateralized debt obligations (D+CDOs). In this book the authors develop a much more sophisticated analysis of migration behavior. Their contribution of more sophisticated techniques to measure and forecast changes in migration behavior as well as determining adequate estimators for transition matrices is a major contribution to rating based credit modeling. *Internal ratings-based systems are widely used in banks to calculate their value-at-risk (VAR) in order to determine their capital requirements for loan and bond portfolios under Basel II. One aspect of these ratings systems is credit migrations, addressed in a systematic and comprehensive way for the first time in this book. The book is based on in-depth work by Trueck and Rachev.

منبع سفارش / آدرس اشتراک

Elsevier Science & Technology

شماره انبار

136462:136595

عنوان

Rating based modeling of credit risk.

شماره استاندارد بين المللي کتاب و موسيقي

0123736838

موضوع مستند نشده

Credit-- Management-- Mathematical models.

موضوع مستند نشده

Credit-- Management.

موضوع مستند نشده

Credit ratings.

موضوع مستند نشده

Risk management.

موضوع مستند نشده

BUSINESS & ECONOMICS-- Distribution.

موضوع مستند نشده

BUSINESS & ECONOMICS-- Finance.

موضوع مستند نشده

BUSINESS & ECONOMICS-- Marketing-- General.

موضوع مستند نشده

Credit-- Management-- Mathematical models.

موضوع مستند نشده

Credit-- Management.

موضوع مستند نشده

Credit ratings.

موضوع مستند نشده

Risk management.

موضوع مستند نشده

BUS-- 027000

موضوع مستند نشده

BUS-- 043000

موضوع مستند نشده

BUS-- 078000

شماره

شماره

ويراست

ويراست

شماره رده

نشانه اثر

مستند نام اشخاص تاييد نشده

Trueck, Stefan.

مستند نام اشخاص تاييد نشده

Rachev, S. T., (Svetlozar Todorov)

تاريخ عمليات

20201207031447.0

قواعد فهرست نويسي ( بخش توصيفي )

pn

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y