Commentaire :

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

Sommaire :
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.

Langue : Anglais

Collection : FINANCE

Edition : 2ème

Illustration(s) : Tableau(x) ; Schémas

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque