Rating based modeling of credit risk : theory and application of migration matrices /

Rating based modeling of credit risk : theory and application of migration matrices /

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Bibliographic Details
Author / Creator:	Trueck, Stefan.
Imprint:	Amsterdam ; London : Elsevier Academic Press, c2009.
Description:	xii, 266 p. : ill. ; 24 cm.
Language:	English
Series:	Academic Press advanced finance series
Subject:	Credit -- Management. Risk management. Credit ratings. Credit -- Management -- Mathematical models. Credit -- Management. Credit -- Management -- Mathematical models. Credit ratings. Risk management.
Format:	Print Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/7629059

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Other authors / contributors:	Rachev, S. T. (Svetlozar Todorov)
ISBN:	9780123736833 (hbk.) 0123736838 (hbk.)
Notes:	Includes bibliographical references and index.
Summary:	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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Call Number:	HG3751 .T78 2009
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