Rating Based Modeling of Credit Risk: Theory and Application of Migration Matrices (Academic Press Advanced Finance)
Language: English
Published by Academic Press -, 2008
- Hardcover
- Used
Seller: Bahamut Media, Reading, United KingdomBahamut Media
AbeBooks seller since August 15, 2012
Condition: Used - Very good
£ 54.05
Quantity: 1 available
Add to basketItem description from seller
Shipped within 24 hours from our UK warehouse. Clean, undamaged book with no damage to pages and minimal wear to the cover. Spine still tight, in very good condition. Remember if you are not happy, you are covered by our 100% money back guarantee.
Seller Inventory # 6545-9780123736833
- Title
- Rating Based Modeling of Credit Risk: Theory and Application of Migration Matrices (Academic Press Advanced Finance)
- Author
- Trueck, Stefan Stefan Trueck, Svetlozar T. Rachev,
- Publisher
- Academic Press -
- Publication year
- 2008
- Condition
- Very Good
- Binding
- hardcover
- Language
- English
- ISBN 10
- 0123736838
- ISBN 13
- 9780123736833
- Series
- Book 15 of 23: Academic Press Advanced Finance
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 credit risk models are being developed or demanded by banks to assess the risk of their credit portfolio better by recognizing the different underlying sources of risk. As a consequence, not only default probabilities for certain rating categories but also the probabilities of moving from one rating state to another are important issues in such models for risk management and pricing.
It is widely accepted that rating migrations and default probabilities show significant variations through time due to macroeconomics conditions or the business cycle. These changes in migration behavior may have a substantial impact on the value-at-risk (VAR) of a credit portfolio or the prices of credit derivatives such as collateralized debt obligations (D+CDOs). In Rating Based Modeling of Credit Risk the authors develop a much more sophisticated analysis of migration behavior. Their contribution of more sophisticated techniques to measure and forecast changes in migration behavior as well as determining adequate estimators for transition matrices is a major contribution to rating based credit modeling.
- 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
- One aspect of these ratings systems is credit migrations, addressed in a systematic and comprehensive way for the first time in this book
- The book is based on in-depth work by Trueck and Rachev
"Synopsis" may belong to another edition of this title.
About the Author
"About the title" may belong to another edition of this title.
Bahamut Media
Reading, United Kingdom
AbeBooks seller since August 15, 2012
Shipping rates from United Kingdom to U.S.A.
| Item | 4 to 15 business days | 4 to 15 business days |
|---|---|---|
| First item | £ 6.98 | £ 6.98 |
Payment methods
Seller's business information
WRAP Ltd
Unit 4, 119 Loverock Rd
Reading, United Kingdom RG30 1DZ
Terms of sale
We guarantee the condition of every book as it's described
on the Abebooks web sites. If you're dissatisfied with your
purchase (Incorrect Book/Not as Described/Damaged) or if the
order hasn't arrived, you're eligible for a refund within 30
days of the estimated delivery date. If you've changed your
mind about a book that you've ordered, please use the Ask
bookseller a question link to contact us and we'll respond
within 2 business days.
Right of withdrawal
If you are a consumer you can withdraw from the contract in accordance with the following. Consumer means any natural person who is acting for purposes which are outside his trade, business, craft or profession.
Information regarding the right of withdrawal
Statutory right to withdraw
You have the right to withdraw from this contract within 14 days without giving any reason.
The withdrawal period will expire after 14 days from the day on which you acquire, or a third party other than the carrier and indicated by you acquires, physical possession of the last good or the last lot or piece.
To exercise the right of withdrawal, electronically fill in and submit a clear statement on our website, under "My Purchases" in "My Account". We will communicate to you an acknowledgement of receipt of such a withdrawal on a durable medium (e.g. by e-mail) without delay.
To meet the withdrawal deadline, it is sufficient for you to send your communication concerning your exercise of the right of withdrawal before the withdrawal period has expired.
Effects of withdrawal
If you withdraw from this contract, we will reimburse to you all payments received from you, including the costs of delivery (except for the supplementary costs arising if you chose a type of delivery other than the least expensive type of standard delivery offered by us).
We may make a deduction from the reimbursement for loss in value of any goods supplied, if the loss is the result of unnecessary handling by you.
We will make the reimbursement without undue delay, and not later than 14 days after the day on which we are informed about your decision to withdraw from this contract.
We will make the reimbursement using the same means of payment as you used for the initial transaction, unless you have expressly agreed otherwise; in any event, you will not incur any fees as a result of such reimbursement.
We may withhold reimbursement until we have received the goods back, or you have supplied evidence of having sent back the goods, whichever is the earliest.
You shall send back the goods or hand them over to Bahamut Media, Wallingford, United Kingdom, without undue delay and in any event not later than 14 days from the day on which you communicate your withdrawal from this contract to us. The deadline is met if you send back the goods before the period of 14 days has expired. You will have to bear the direct cost of returning the goods. You are only liable for any diminished value of the goods resulting from the handling other than what is necessary to establish the nature, characteristics and functioning of the goods.
Exceptions to the right of withdrawal
The right of withdrawal does not apply to:
- The delivery of newspapers, journals or magazines with the exception of subscription contracts; and
- The supply of digital content which is not supplied on a tangible medium (e.g. on a CD or DVD) if you accepted when you placed your order that we could start to deliver it, and that you could not withdraw once delivery had started.
Shipping terms
All books will normally be shipped within 1 working day of being ordered. We provide the best shipping rates we can to each country and you can rest assured that if you are not happy with anything you receive, you have a 100% money-back guarantee with us.