Rating Based Modeling of Credit Risk
Theory and Application of Migration Matrices
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.
Specificaties
| ISBN/EAN | 9780123736833 |
| Auteur | Trueck, Stefan (Postdoctoral Research Fellow, School of Economics and Finance, Queensland University of Technology, Australia) |
| Uitgever | Van Ditmar Boekenimport B.V. |
| Taal | Engels |
| Uitvoering | Gebonden in harde band |
| Pagina's | 280 |
| Lengte | 236.0 mm |
| Breedte | 160.0 mm |