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.
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
Hidden Bibliographic Details
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
c.1 Available Loan period: standard loan  Scan and Deliver Request for Pickup Need help? - Ask a Librarian