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Rating Based Modeling of Credit Risk: Theory and Application of Migration Matrices - Academic Press Advanced Finance
Trueck, Stefan (Postdoctoral Research Fellow, School of Economics and Finance, Queensland University of Technology, Australia)
Rating Based Modeling of Credit Risk: Theory and Application of Migration Matrices - Academic Press Advanced Finance
Trueck, Stefan (Postdoctoral Research Fellow, School of Economics and Finance, Queensland University of Technology, Australia)
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. This book addresses one aspect of these ratings systems which is credit migrations.
280 pages, Illustrated
Media | Boeken Hardcover Book (Boek met harde rug en kaft) |
Vrijgegeven | 1 december 2008 |
Datum oorspronkelijke uitgave | 2009 |
ISBN13 | 9780123736833 |
Uitgevers | Elsevier Science Publishing Co Inc |
Pagina's | 280 |
Afmetingen | 160 × 239 × 21 mm · 580 g |