Rating based modeling of credit risk [electronic resource] : theory and application of migration matrices / Stefan Trueck, Svetlozar T. Rachev.
By: Trueck, Stefan.
Contributor(s): Rachev, S. T. (Svetlozar Todorov)
| ScienceDirect (Online service).
Series: Academic Press advanced finance series: Publisher: London Burlington, MA : Academic, c2009Description: xii, 266 p. : ill. ; 24 cm.ISBN: 9780123736833; 0123736838.Subject(s): Credit -- Management | Risk management | Credit ratings | Credit -- Management -- Mathematical modelsGenre/Form: Electronic books.Additional physical formats: No titleDDC classification: 332.7011 | 658.88 Online resources: An electronic book accessible through the World Wide Web; click for information | Item type | Current location | Call number | Status | Notes | Date due | Barcode |
|---|---|---|---|---|---|---|
| Main Collection | Taylor's Library - Perpetual(TU) | 332.7011 | 658.88 (Browse shelf) | e-book | TBSxx,44001,03,CL,PPT |
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| 332.7 MUO Chain of blame : | 332.7 SAT 2017 Credit analysis and lending management / | 332.701/1 Complex systems and sustainability in the global auditing, consulting, and credit rating agency industries / | 332.7011 | 658.88 Rating based modeling of credit risk | 332.7084/6 The value of debt in retirement : | 332.710951222 China's rural financial system | 332.72 REE 2011 Mortgage confidential : |
Includes bibliographical references (p. [249]-258) and index.
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.
Electronic reproduction. Amsterdam : Elsevier Science & Technology, 2009. Mode of access: World Wide Web. System requirements: Web browser. Title from title screen (viewed on Apr. 10, 2009). Access may be restricted to users at subscribing institutions.