Rating based modeling of credit risk : theory and application of migration matrices /: theory and application of migration matrices. (2009)

• Record Type: Book
• Further Information: Note: Stefan Trueck, Svetlozar T. Rachev.
• Other Names: Trueck, Stefan; Rachev, S. T (Svetlozar Todorov); ScienceDirect (Online service)
• Contents: 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.
• Publisher Details: Place of publication not identified : Academic Press
• Publication Date: 2009
• Extent: 1 online resource (280 pages)
• Subjects: 332.7011; 658.88; Credit -- Management; Risk management; Credit ratings; Credit -- Management -- Mathematical models; Electronic books
• Languages: English
• ISBNs: 9780080920306; 0080920306
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.