Comment :

ISBN 13 : 978-0-470-66092-8

Contents :
Preface

1. Estimating Credit Scores with Logit.
2. The Structural Approach to Default Prediction and Valuation.
3. Transition Matrices.
4. Prediction of Default and Transition Rates.
5. Prediction of Loss Given Default.
6. Modeling and Estimating Default Correlations with the Asset Value Approach.
7. Measuring Credit Portfolio Risk with the Asset Value Approach.
8. Validation of Rating Systems.
9. Validation of Credit Portfolio Models.
10. Credit Default Swaps and Risk-Neutral Default Probabilities.
11. Risk Analysis and Pricing of Structured Credit: CDOs and First-to-Default Swaps.
12. Basel II and Internal Ratings.

Language : English

Series : FINANCE

Print : 2ème

Figure(s) : Tableau(x) ; Schémas

Location : Nice Library

Material : Paper

Statement : Présent

Owner : Bibliothèque