{"product_id":"rating-based-modeling-of-credit-stefan-trueck-9780123736833","title":"Rating Based Modeling of Credit Risk: Theory and Application of Migration Matrices","description":"\u003cp\u003eIn 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.\u003c\/p\u003e \u003cp\u003eIt 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 \u003ci\u003eRating Based Modeling of Credit Risk \u003c\/i\u003ethe 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.\u003c\/p\u003e\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e Stefan Trueck,Svetlozar T. Rachev\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 0123736838\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9780123736833\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Academic Press\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 12\/01\/2008\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 280\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Hardcover\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 1.28lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 8.91h x 6.37w x 0.89d","brand":"Stefan Trueck","offers":[{"title":"Hardcover","offer_id":48135909277951,"sku":"9780123736833","price":92.95,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0662\/2982\/9887\/files\/img_d7d5545a-fae9-4e42-9b6d-b70814be3bf8.jpg?v=1770159258","url":"https:\/\/www.whiterainbookhouse.com\/products\/rating-based-modeling-of-credit-stefan-trueck-9780123736833","provider":"WR Book House","version":"1.0","type":"link"}