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Rating Based Modeling of Credit Risk

Theory and Application of Migration Matrices

Rating Based Modeling of Credit Risk( )
Author: Trueck, Stefan
Rachev, Svetlozar T.
Series title:Academic Press Advanced Finance Ser.
ISBN:978-0-12-373683-3
Publication Date:Jan 2009
Publisher:Elsevier Science & Technology
Imprint:Academic Press
Book Format:Hardback
List Price:USD $92.95
Book Description:

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...
More Description

Book Details
Pages:280
Detailed Subjects: Business & Economics / Decision-Making & Problem Solving
Business & Economics / Finance / General
Physical Dimensions (W X L X H):6 x 9 Inches



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