Credit ratings : methodologies, rationale and default risk
著者
書誌事項
Credit ratings : methodologies, rationale and default risk
Risk Books, c2002
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注記
Includes bibliographical references and index
内容説明・目次
内容説明
In a time of numerous corporate failures, companies need to be increasingly certain that they are minimising their risk and managing their exposures (such as corporate lending) correctly. This title comprises critical analysis and discussion on the methodologies used and implemented by, not only the major rating agencies, who are involved in producing public ratings, but also those rating systems used internally by institutions. This title brings together views from the ratings agencies themselves, the founders of different rating systems, credit practitioners involved in implementing their own internal rating systems and those who represent the regulatory bodies that are monitoring ratings processes. Additionally, this book offers insight on corporate failures - such as Enron - in relation to how different aspects of rating and scoring systems may be flawed. The reader is also provided with background information on the Basel Committee's "Internal Ratings Based Approach" that they should be aware of when implementing their own internal ratings systems.
目次
Rating credits Introduction Michael Ong 1. The A to Z of Standard and Poor's Ratings Chris Dinwoodie of Standard and Poor's 2. Historical Corporate Rating Migration, Default and Recovery Rates David Hamilton of Moody's Investors Service 3. Cyclical Effects in Credit Risk Ratings and Default Risk Linda Allen of Zicklin School of Business, Baruch College, City University of New York and Anthony Saunders of Stern School of Business, New York University Rating agencies Introduction Michael Ong 4. An Analysis of the Credit Rating Industry Lawrence J. White of Stern School of Business, New York University 5. The Meaning of Agency Ratings: A Behavioural Model of Rating Assignment Sean C. Keenan and Jorge R. Sobehart of CitiGroup Risk Architecture 6. Hybrid Contingent Claims Models: A Practical Approach to Modelling Default Risk Jorge R. Sobehart and Sean C. Keenan of CitiGroup Risk Architecture Credit scoring techniques Introduction Michael Ong 7. Revisiting Credit Scoring Models in a Basel II Environment Edward I. Altman of Stern School of Business, New York University 8. Credit Scoring for Corporate Debt Eric Falkenstein of Deephaven Capital Management 9. Scoring and Validating Techniques for Credit Risk Rating Systems Sebastian G. Fritz, Lars Popken and Christian Wagner of Credit Risk Management, Risk Analytics and Instruments, Deutsche Bank AG 10. Replicating Agency Ratings through Multinomial Scoring Models Andrea Resti of Bergamo University 11. Capital Ratios and Credit Ratings as Predictors of Bank Failures Arturo Estrella and Stavros Peristiani of Federal Reserve Bank of New York and Sangkyun Park of Office of Management and Budget Regulatory issues on credit ratings Introduction Michael Ong 12. Regulatory use of Credit Ratings: Implications for Banks, Supervisors and Markets. Barbara C. Matthews of Institute of International Finance 13. Regulatory Capital Based on Bank Internal Ratings of Credit Risk Jeffrey A. Brown of Risk Analytics Division, Office of the Comptroller of the Currency 14. Supervisory and Regulatory Concerns Regarding Bank Internal Rating Systems Jose A. Lopez of Federal Reserve Bank of San Francisco and Marc R. Saidenberg of Federal Reserve Bank of New York 15. Regulatory Issues on Credit Ratings David M. Rowe, Dean Jovic and Marcel Beutler of SunGard Trading and Risk Systems Internal rating systems of banks Introduction Michael Ong 16. Credit Culture Dev Strischek of SunTrust Bank Inc 17. Internal Risk Rating Systems Michel Crouhy, Dan Galai and Bob Mark of CIBC 18. The New Capital Accord and Internal Bank Ratings Donald R. van Deventer and Jaqueline Outram of Kamakura Corporation 19. Designing and Implementing Effective Credit Rating Systems Thomas Garside and Jonathon Greenman of Oliver, Wyman & Company 20. Preparing for the Internal Ratings-Based Approach Andrea Szczesny and Ralf Ewert of Johann Wolfgang Goethe University, Frankfurt 21. Some Evidence on the Consistency of Banks' Internal Ratings Mark Carey of Federal Reserve Board Credit ratings of asset securitisations Introduction Michael Ong 22. Measuring Portfolio Credit Risk with Default Experience Statistic (DES) Arthur M. Berd of Lehman Brothers 23. EL and DP Approaches to Rating CDOs and the Scope for "Ratings Shopping" William Perraudin and Vladislav Peretyatkin of Birkbeck, University of London 24. Rating Based on Credit Portfolio Models Ludger Overbeck and Hans Lotter of Deutsche Bank AG
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