Rating Based Modeling of Credit Risk: Theory and Application of Migration Matrices

Trueck, Stefan Rachev, Svetlozar T.

Ouvrage indisponible

Éditeur
Academic Press Inc
Pages
280
Parution
janvier 2009
Format
Cartonné
Langue
Anglais
Dimensions
229 × 152 × 23 cm
EAN
9780123736833
  • Résumé

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.
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