Basel III credit rating systems : an applied guide to quantitative and qualitative models
著者
書誌事項
Basel III credit rating systems : an applied guide to quantitative and qualitative models
（Finance and capital markets）
Palgrave Macmillan, 2012
- タイトル別名
-
Basel three credit rating systems
Basel third credit rating systems
大学図書館所蔵 件 / 全6件
-
該当する所蔵館はありません
- すべての絞り込み条件を解除する
注記
Includes bibliographical references (p. 339-342) and index
内容説明・目次
内容説明
More than ever, banking competition is based on the ability to control the cost of risk and can only be managed with excellent internal rating models and very advanced risk management processes. This book is a comprehensive guide to quantitative and qualitative rating assessments with up-to-date methodologies in the international banking system.
目次
Foreword Introduction: The Efficient Market Hypothesis (EMH) and Basel III New Banking Regulation PART I: THE QUANTITATIVE APPROACH TO CREDIT RATING MODELS SME Corporate and Retail PD Models Sovereign and Banks Rating Models Exposure at Default Valuation Loss Given Default Estimation Validation of Credit Internal Models PART II: THE QUALITATIVE APPROACH TO CREDIT RATING MODELS The Internal Rating Agency Organization and Scope Expert Judgment Based Rating Assignment Process Slotting Criteria Credit Rating Models Global Recovery Rate (GRR) PART III: RATING ASSIGNMENT ON SPECIALIZED LENDING Rating Assignment on Object Finance Rating Assignment on Telecom Operators PART IV: RISK ADJUSTED CREDIT PRICING MODELS Pricing in Liquid Markets CDS-Implied EDF Credit Measures and Fair-Value Spreads Pricing in Non-Liquid Markets
「Nielsen BookData」 より