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Rating Based Modeling of Credit Risk

- Theory and Application of Migration Matrices

Om Rating Based Modeling of Credit Risk

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.

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  • Språk:
  • Engelsk
  • ISBN:
  • 9780123736833
  • Bindende:
  • Hardback
  • Sider:
  • 280
  • Utgitt:
  • 15. januar 2009
  • Dimensjoner:
  • 160x239x21 mm.
  • Vekt:
  • 576 g.
  Gratis frakt
Leveringstid: 2-4 uker
Forventet levering: 3. juni 2025

Beskrivelse av Rating Based Modeling of Credit Risk

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.

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