Rating based modeling of credit risk: theory and application of migration matrices
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
London
Academic
[2009]
|
| Schriftenreihe: | Academic Press advanced finance series
|
| Schlagworte: | |
| Online-Zugang: | FUBA1 Volltext |
| Beschreibung: | 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. Includes bibliographical references (p. [249]-258) and index |
| Beschreibung: | 1 Online-Ressource (XII, 266 S.) |
| ISBN: | 9780123736833 9780080920306 |
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| 500 | |a 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. | ||
| 500 | |a Includes bibliographical references (p. [249]-258) and index | ||
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Datensatz im Suchindex
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| author | Trück, Stefan |
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| author_role | aut |
| author_sort | Trück, Stefan |
| author_variant | s t st |
| building | Verbundindex |
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| dewey-full | 332.7011 658.88 |
| dewey-hundreds | 300 - Social sciences 600 - Technology (Applied sciences) |
| dewey-ones | 332 - Financial economics 658 - General management |
| dewey-raw | 332.7011 658.88 |
| dewey-search | 332.7011 658.88 |
| dewey-sort | 3332.7011 |
| dewey-tens | 330 - Economics 650 - Management and auxiliary services |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV042309667 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:18:01Z |
| institution | BVB |
| isbn | 9780123736833 9780080920306 |
| language | English |
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| spelling | Trück, Stefan Verfasser (DE-588)131654330 aut Rating based modeling of credit risk theory and application of migration matrices Stefan Trueck, Svetlozar T. Rachev London Academic [2009] 1 Online-Ressource (XII, 266 S.) txt rdacontent c rdamedia cr rdacarrier Academic Press advanced finance series 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. Includes bibliographical references (p. [249]-258) and index BUSINESS & ECONOMICS / Marketing / General bisacsh BUSINESS & ECONOMICS / Distribution bisacsh BUSINESS & ECONOMICS / Finance bisacsh Credit / Management local Risk management local Credit ratings local Credit / Management / Mathematical models local Mathematisches Modell Wirtschaft Credit Management Risk management Credit ratings Credit Management Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Kreditmanagement (DE-588)4138463-5 gnd rswk-swf Electronic books Kreditmanagement (DE-588)4138463-5 s Risikomanagement (DE-588)4121590-4 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Račev, Svetlozar T. 1951- Sonstige (DE-588)12022979X oth http://www.sciencedirect.com/science/book/9780123736833 Verlag Volltext |
| spellingShingle | Trück, Stefan Rating based modeling of credit risk theory and application of migration matrices BUSINESS & ECONOMICS / Marketing / General bisacsh BUSINESS & ECONOMICS / Distribution bisacsh BUSINESS & ECONOMICS / Finance bisacsh Credit / Management local Risk management local Credit ratings local Credit / Management / Mathematical models local Mathematisches Modell Wirtschaft Credit Management Risk management Credit ratings Credit Management Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd Risikomanagement (DE-588)4121590-4 gnd Kreditmanagement (DE-588)4138463-5 gnd |
| subject_GND | (DE-588)4114528-8 (DE-588)4121590-4 (DE-588)4138463-5 |
| title | Rating based modeling of credit risk theory and application of migration matrices |
| title_auth | Rating based modeling of credit risk theory and application of migration matrices |
| title_exact_search | Rating based modeling of credit risk theory and application of migration matrices |
| title_full | Rating based modeling of credit risk theory and application of migration matrices Stefan Trueck, Svetlozar T. Rachev |
| title_fullStr | Rating based modeling of credit risk theory and application of migration matrices Stefan Trueck, Svetlozar T. Rachev |
| title_full_unstemmed | Rating based modeling of credit risk theory and application of migration matrices Stefan Trueck, Svetlozar T. Rachev |
| title_short | Rating based modeling of credit risk |
| title_sort | rating based modeling of credit risk theory and application of migration matrices |
| title_sub | theory and application of migration matrices |
| topic | BUSINESS & ECONOMICS / Marketing / General bisacsh BUSINESS & ECONOMICS / Distribution bisacsh BUSINESS & ECONOMICS / Finance bisacsh Credit / Management local Risk management local Credit ratings local Credit / Management / Mathematical models local Mathematisches Modell Wirtschaft Credit Management Risk management Credit ratings Credit Management Mathematical models Mathematisches Modell (DE-588)4114528-8 gnd Risikomanagement (DE-588)4121590-4 gnd Kreditmanagement (DE-588)4138463-5 gnd |
| topic_facet | BUSINESS & ECONOMICS / Marketing / General BUSINESS & ECONOMICS / Distribution BUSINESS & ECONOMICS / Finance Credit / Management Risk management Credit ratings Credit / Management / Mathematical models Mathematisches Modell Wirtschaft Credit Management Credit Management Mathematical models Risikomanagement Kreditmanagement |
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