Rating Based Modeling of Credit Risk: Theory and Application of Migration Matrices
Author:   Stefan Trueck (Postdoctoral Research Fellow, School of Economics and Finance, Queensland University of Technology, Australia) ,  Svetlozar T. Rachev (Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering)
Publisher:   Elsevier Science Publishing Co Inc
ISBN:  

9780123736833


Pages:   280
Publication Date:   15 January 2009
Format:   Hardback
Availability:   In Print   Availability explained
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Rating Based Modeling of Credit Risk: Theory and Application of Migration Matrices


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Author:   Stefan Trueck (Postdoctoral Research Fellow, School of Economics and Finance, Queensland University of Technology, Australia) ,  Svetlozar T. Rachev (Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering)
Publisher:   Elsevier Science Publishing Co Inc
Imprint:   Academic Press Inc
Dimensions:   Width: 15.20cm , Height: 2.30cm , Length: 22.90cm
Weight:   0.580kg
ISBN:  

9780123736833


ISBN 10:   0123736838
Pages:   280
Publication Date:   15 January 2009
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

Table of Contents

1. Introduction: Credit Risk Modeling, Ratings and Migration Matrices 2. Rating and Scoring Techniques 3. The New Basel Capital Accord 4. Rating Based Modeling 5. Migration Matrices and the Markov Chain Approach 6. Stability of Credit Migrations 7. Measures for Comparison of Transition Matrices 8. Real World and Risk-Neutral Transition Matrices 9. Conditional Credit Migrations: Adjustments and Forecasts 10. Dependence Modeling and Credit Migrations 11. Credit Derivatives

Reviews

.,. an excellent overview of theory and application.... <br>-Frank J. Fabozzi, PhD, CFA, Professor in the Practice of Finance, Yale School of Management, CT


... an excellent overview of theory and application... -Frank J. Fabozzi, PhD, CFA, Professor in the Practice of Finance, Yale School of Management, CT


Author Information

Svetlozar (Zari) Rachev completed his PhD in 1979 from Moscow State University, and his Doctor of Science degree in 1986 from the Steklov mathematical Institute in Moscow. Currently he is Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering. He is also Professor Emeritus at the University of California Santa Barbara in the Dept of Statistics and Applied Probability. He has published six monographs and over 230 research articles. He is a Fellow of the Institute of Mathematical Statistics, Elected member of the International statistical Institute, foreign Member of the Russian Academy of Natural Science, and hols an honorary doctorate degree from St. Petersburg Technical University. He is co-founder of Bravo Risk Management Group specializing in financial risk management software. Bravo Group was recently acquired by FinAnalytics for which he currently serves as Chief-Scientist.

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