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• 2009417734 abstract "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 underlying sources of risk. As a consequence, not only default probabilities for certain rating categories but also the probabilities of moving from one rating state to another are important issues in such models for risk management and pricing. It is widely accepted that rating migrations and default probabilities show significant variations through time due to macroeconomics conditions or the business cycle. These changes in migration behavior may have a substantial impact on the value-at-risk (VAR) of a credit portfolio or the prices of credit derivatives such as collateralized debt obligations (D+CDOs). In this book the authors develop a much more sophisticated analysis of migration behavior. Their contribution of more sophisticated techniques to measure and forecast changes in migration behavior as well as determining adequate estimators for transition matrices is a major contribution to rating based credit modeling. *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. One aspect of these ratings systems is credit migrations, addressed in a systematic and comprehensive way for the first time in this book. The book is based on in-depth work by Trueck and Rachev.".
• 2009417734 contributor B11588813.
• 2009417734 contributor B11588814.
• 2009417734 contributor B11588815.
• 2009417734 created "2009.".
• 2009417734 created "c2009.".
• 2009417734 date "2009".
• 2009417734 date "c2009.".
• 2009417734 dateCopyrighted "c2009.".
• 2009417734 description "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.".
• 2009417734 description "Electronic reproduction. Amsterdam : Elsevier Science & Technology, 2009. Mode of access: World Wide Web. System requirements: Web browser. Title from title screen (viewed on Apr. 10, 2009). Access may be restricted to users at subscribing institutions.".
• 2009417734 description "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 underlying sources of risk. As a consequence, not only default probabilities for certain rating categories but also the probabilities of moving from one rating state to another are important issues in such models for risk management and pricing. It is widely accepted that rating migrations and default probabilities show significant variations through time due to macroeconomics conditions or the business cycle. These changes in migration behavior may have a substantial impact on the value-at-risk (VAR) of a credit portfolio or the prices of credit derivatives such as collateralized debt obligations (D+CDOs). In this book the authors develop a much more sophisticated analysis of migration behavior. Their contribution of more sophisticated techniques to measure and forecast changes in migration behavior as well as determining adequate estimators for transition matrices is a major contribution to rating based credit modeling. *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. One aspect of these ratings systems is credit migrations, addressed in a systematic and comprehensive way for the first time in this book. The book is based on in-depth work by Trueck and Rachev.".
• 2009417734 description "Includes bibliographical references (p. [249]-258) and index.".
• 2009417734 extent "xii, 266 p. :".
• 2009417734 identifier "0123736838".
• 2009417734 identifier "9780123736833".
• 2009417734 identifier 2009417734-d.html.
• 2009417734 identifier 9780123736833.
• 2009417734 isPartOf "Academic Press advanced finance series".
• 2009417734 issued "2009".
• 2009417734 issued "c2009.".
• 2009417734 language "eng".
• 2009417734 publisher "London Burlington, MA : Academic,".
• 2009417734 subject "332.7011 22".
• 2009417734 subject "658.88 22".
• 2009417734 subject "Credit Management Mathematical models.".
• 2009417734 subject "Credit Management.".
• 2009417734 subject "Credit ratings.".
• 2009417734 subject "HG3751 .T78 2009".
• 2009417734 subject "Risk management.".
• 2009417734 tableOfContents "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.".
• 2009417734 temporal "Amsterdam :".
• 2009417734 title "Rating based modeling of credit risk : theory and application of migration matrices / Stefan Trueck, Svetlozar T. Rachev.".
• 2009417734 type "Electronic books. local".
• 2009417734 type "text".