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Rating Based Modeling of Credit Risk
- Theory and Application of Migration Matrices
part of the Academic Press Advanced Finance series
- Binding:
- Hardback
- Pages:
- 280
- Published:
- January 14, 2009
- Dimensions:
- 160x239x21 mm.
- Weight:
- 576 g.
Delivery:
2-3 weeks
Expected delivery: May 26, 2025
About Stefan (Postdoctoral Research Fellow Trueck
View all books by Stefan (Postdoctoral Research Fellow TrueckDescription of 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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