Rating based modeling of credit risk theory and application of migration matrices
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 capi...
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
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London :
Academic
2009.
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| Edición: | 1st edition |
| Colección: | Academic Press advanced finance series.
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| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627754406719 |
| Sumario: | 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 und |
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| Notas: | Description based upon print version of record. |
| Descripción Física: | 1 online resource (279 p.) |
| Bibliografía: | Includes bibliographical references. |
| ISBN: | 9781282168527 9786612168529 9786611928513 9780080920306 |
