Rating Based Modeling of Credit Risk: Theory and Application of Migration Matrices - Academic Press Advanced Finance - Trueck, Stefan (Postdoctoral Research Fellow, School of Economics and Finance, Queensland University of Technology, Australia) - Books - Elsevier Science Publishing Co Inc - 9780123736833 - December 1, 2008
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Rating Based Modeling of Credit Risk: Theory and Application of Migration Matrices - Academic Press Advanced Finance

Trueck, Stefan (Postdoctoral Research Fellow, School of Economics and Finance, Queensland University of Technology, Australia)

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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.

280 pages, Illustrated

Media Books     Hardcover Book   (Book with hard spine and cover)
Released December 1, 2008
Original release date 2009
ISBN13 9780123736833
Publishers Elsevier Science Publishing Co Inc
Pages 280
Dimensions 160 × 239 × 21 mm   ·   580 g

See all of Trueck, Stefan (Postdoctoral Research Fellow, School of Economics and Finance, Queensland University of Technology, Australia) ( e.g. Hardcover Book )