Rating Based Modeling of Credit Risk: Theory and Application of Migration Matrices

by Svetlozar T. Rachev and Stefan Trueck

In 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...

• Format: Hardcover
• Language: English
• ISBN: 0123736838
• ISBN13: 9780123736833
• Release Date: December 2008
• Publisher: Academic Press
• Length: 280 Pages
• Weight: 1.35 lbs.
• Dimensions: 0.9" x 6.4" x 8.9"