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Measuring And Managing Credit Risk : Standard & Poor's Press - Arnaud de Servigny

Measuring And Managing Credit Risk

Standard & Poor's Press

Hardcover Published: 5th May 2004
ISBN: 9780071417556
Number Of Pages: 388

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Today's most complete, up-to-date reference for controlling credit risk exposure of all types, in every environment

Measuring and Managing Credit Risk takes you far beyond the Basel guidelines to detail a powerful, proven program for understanding and controlling your firm's credit risk. Providing hands-on answers on practical topics from capital management to correlations, and supporting its theories with up-to-the-minute data and insights, this authoritative book examines every key aspect of credit risk, including: Determinants of credit risk and pricing/spread implications Quantitative models for moving beyond Altman's Z score to separate "good" borrowers from "bad" Key determinants of loss given default, and potential links between recovery rates and probabilities of default Measures of dependency including linear correlation, and the impact of correlation on portfolio losses A detailed review of five of today's most popular portfolio models--CreditMetrics, CreditPortfolioView, Portfolio Risk Tracker, CreditRisk+, and Portfolio Manager How credit risk is reflected in the prices and yields of individual securities How derivatives and securitization instruments can be used to transfer and repackage credit risk

Today's credit risk measurement and management tools and techniques provide organizations with dramatically improved strength and flexibility, not only in mitigating risk but also in improving overall financial performance. Measuring and Managing Credit Risk introduces and explores each of these tools, along with the rapidly evolving global credit environment, to provide bankers and other financial decision-makers with the know-how to avoid excessive credit risk where possible--and mitigate it when necessary.

Foreword
Introduction
Acknowledgments
Credit, financial markets, and microeconomicsp. 1
External and internal ratingsp. 23
Default risk : quantitative methodologiesp. 63
Loss given defaultp. 117
Default dependenciesp. 167
Credit risk portfolio modelsp. 213
Credit risk management and strategic capital allocationp. 271
Yield spreadsp. 309
Structured products and credit derivativesp. 347
Regulationp. 383
Epiloguep. 415
Notesp. 417
Referencesp. 437
Indexp. 453
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9780071417556
ISBN-10: 0071417559
Series: Standard & Poor's Press
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 388
Published: 5th May 2004
Publisher: McGraw-Hill Education - Europe
Country of Publication: US
Dimensions (cm): 23.6 x 16.0  x 3.0
Weight (kg): 0.84
Edition Number: 1

Earn 205 Qantas Points
on this Book