Rating based modeling of credit risk : theory and application of migration matrices
| Main Authors: | , |
|---|---|
| Corporate Author: | |
| Format: | Book |
| Language: | English |
| Published: |
London :
Elsevier ,
c2009
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| Series: | Academic Press advanced finance series
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| Subjects: | |
| Online Access: | An electronic book accessible through the World Wide Web; click for information Publisher description |
Table of Contents:
- 1. Introduction: credit risk modeling, ratings and migration matrices
- 2. Rating and scoring techniques
- 3. The new based capital accord
- 4. Rating based modeling
- 5. Migration matrices and the markov chain approach
- 6. Stability of credit migrations
- 7. Measures for comparison of transition matrices
- 8. Real-world and risk-neutral transition matrices
- 9. Conditional credits migrations: adjustments and forecasts
- 10. Dependence modeling and credit migrations
- 11. Credit derivatives