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Rating Based Modeling of Credit Risk

- Theory and Application of Migration Matrices

av Stefan (Postdoctoral Research Fellow Trueck

del av Academic Press Advanced Finance-serien

Rating Based Modeling of Credit Risk av Stefan (Postdoctoral Research Fellow Trueck
Om Rating Based Modeling of Credit Risk

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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  • Språk:
  • Engelska
  • ISBN:
  • 9780123736833
  • Format:
  • Inbunden
  • Sidor:
  • 280
  • Utgiven:
  • 15. januari 2009
  • Mått:
  • 160x239x21 mm.
  • Vikt:
  • 576 g.
  Fri leverans
Leveranstid: 2-4 veckor
Förväntad leverans: 12. juni 2025

Om Stefan (Postdoctoral Research Fellow Trueck

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Beskrivning av Rating Based Modeling of Credit Risk

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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