Rating Based Modeling of Credit Risk Trueck Rachev Hardback Academic Press

Rating Based Modeling of Credit Risk\nPlease note: \nthis item is printed on demand and will take extra time before it can be dispatched to you (up to 20 working days).\n\nTheory and Application of Migration Matrices\nAuthor(s): Stefan Trueck, Svetlozar T. Rachev\nFormat: Hardback\nPublisher: Elsevier Science Publishing Co Inc, United States\nImprint: Academic Press Inc\nISBN-13: 9780123736833, 978-0123736833\nSynopsis\nIn 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 rec.