Rating based modeling of credit risk : theory and application of migration matrices / Stefan Trueck, Svetlozar T. Rachev.
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 capi...
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| Format: | eBook |
| Language: | English |
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London ; Burlington, MA :
Academic,
©2009.
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| Series: | Academic Press advanced finance series.
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