MARC details
| 000 -LEADER |
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| fixed length control field |
04346cam a22004454a 4500 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
090608s2009 enka sb 001 0 eng d |
| 010 ## - LIBRARY OF CONGRESS CONTROL NUMBER |
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| LC control number |
2009417734 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
0123736838 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780123736833 |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
OPELS |
| Language of cataloging |
eng |
| Transcribing agency |
OPELS |
| Modifying agency |
DLC |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HG3751 |
| Item number |
.T78 2009 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
658.88 |
| Edition number |
22 |
| 092 04 - LOCALLY ASSIGNED DEWEY CALL NUMBER (OCLC) |
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| Classification number |
658.88 |
| Item number |
T8666 |
| Edition number |
21 |
| 099 ## - LOCAL FREE-TEXT CALL NUMBER (OCLC) |
|---|
| Classification number |
04 |
| -- |
658.88 T8666 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Trueck, Stefan. |
| 245 10 - TITLE STATEMENT |
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| Title |
Rating based modeling of credit risk: |
| Remainder of title |
theory and application of migration matrices |
| Medium |
[electronic resource] / |
| Statement of responsibility, etc. |
Stefan Trueck, Svetlozar T. Rachev. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. |
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| Place of publication, distribution, etc. |
London |
| -- |
Burlington, MA : |
| Name of publisher, distributor, etc. |
Academic, |
| Date of publication, distribution, etc. |
c2009. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
xii, 266 p. : |
| Other physical details |
ill. ; |
| Dimensions |
24 cm. |
| 440 #0 - SERIES STATEMENT/ADDED ENTRY--TITLE |
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| Title |
Academic Press advanced finance series |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
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| Bibliography, etc. note |
Includes bibliographical references (p. [249]-258) and index. |
| 505 0# - FORMATTED CONTENTS NOTE |
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| Formatted contents note |
1. Introduction: Credit Risk Modeling, Ratings and Migration Matrices -- 2. Rating and Scoring Techniques -- 3. The New Basel Capital Accord -- 4. Rating Based Modeling -- 5. Migration Matrices and the Markov Chain Approach -- 6. Stability of Credit Migrations -- 7. Measures for Comparison of Transition Matrices -- 8. Real World and Risk-Neutral Transition Matrices -- 9. Conditional Credit Migrations: Adjustments and Forecasts -- 10. Dependence Modeling and Credit Migrations -- 11. Credit Derivatives. |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc. |
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 this book 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. |
| 533 ## - REPRODUCTION NOTE |
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| Type of reproduction |
Electronic reproduction. |
| Place of reproduction |
Amsterdam : |
| Agency responsible for reproduction |
Elsevier Science & Technology, |
| Date of reproduction |
2009. |
| Note about reproduction |
Mode of access: World Wide Web. |
| -- |
System requirements: Web browser. |
| -- |
Title from title screen (viewed on Apr. 10, 2009). |
| -- |
Access may be restricted to users at subscribing institutions. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Credit ratings. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
Credit |
| General subdivision |
Management. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Credit |
| General subdivision |
Management |
| -- |
Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Risk management. |
| 655 #7 - INDEX TERM--GENRE/FORM |
|---|
| Genre/form data or focus term |
Electronic books. |
| Source of term |
local |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Rachev, S. T. |
| Fuller form of name |
(Svetlozar Todorov) |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
|---|
| Corporate name or jurisdiction name as entry element |
ScienceDirect (Online service) |
| 776 1# - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Qualifying information |
Original |
| International Standard Book Number |
9780123736833 |
| -- |
0123736838 |
| Record control number |
(OCoLC)263294158 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Materials specified |
ScienceDirect |
| Uniform Resource Identifier |
<a href="http://www.sciencedirect.com/science/book/9780123736833">http://www.sciencedirect.com/science/book/9780123736833</a> |
| Public note |
An electronic book accessible through the World Wide Web; click for information |
| 856 42 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Materials specified |
Publisher description |
| Uniform Resource Identifier |
<a href="http://www.loc.gov/catdir/enhancements/fy0913/2009417734-d.html">http://www.loc.gov/catdir/enhancements/fy0913/2009417734-d.html</a> |
| 902 ## - LOCAL DATA ELEMENT B, LDB (RLIN) |
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| No. of Items |
1 |
| 905 ## - LOCAL DATA ELEMENT E, LDE (RLIN) |
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| Cataloger |
Eman |
| Reviser |
Rev. |
| 905 ## - LOCAL DATA ELEMENT E, LDE (RLIN) |
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| Cataloger |
Jamal |
| Reviser |
Cat. |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Books |
