Basel III Credit Rating Systems

Name: Basel III Credit Rating Systems
Author: L. Izzi

An Applied Guide to Quantitative and Qualitative Models

Gebonden Engels 2011 9780230294240

€ 186,01

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Samenvatting

More than ever, banking competition is based on the ability to control the cost of risk and can only be managed with excellent internal rating models and very advanced risk management processes. This book is a comprehensive guide to quantitative and qualitative rating assessments with up-to-date methodologies in the international banking system.

Specificaties

ISBN13:9780230294240

Taal:Engels

Bindwijze:gebonden

Uitgever:Palgrave Macmillan UK

Hoofdrubriek:Financieel management, Economie

Serie:Finance and Capital Markets Series

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Inhoudsopgave

Foreword Introduction: The Efficient Market Hypothesis (EMH) and Basel III New Banking Regulation PART I: THE QUANTITATIVE APPROACH TO CREDIT RATING MODELS SME Corporate and Retail PD Models Sovereign and Banks Rating Models Exposure at Default Valuation Loss Given Default Estimation Validation of Credit Internal Models PART II: THE QUALITATIVE APPROACH TO CREDIT RATING MODELS The Internal Rating Agency Organization and Scope Expert Judgment Based Rating Assignment Process Slotting Criteria Credit Rating Models Global Recovery Rate (GRR) PART III: RATING ASSIGNMENT ON SPECIALIZED LENDING Rating Assignment on Object Finance Rating Assignment on Telecom Operators PART IV: RISK ADJUSTED CREDIT PRICING MODELS Pricing in Liquid Markets CDS-Implied EDF Credit Measures and Fair-Value Spreads Pricing in Non-Liquid Markets