Measuring and Managing Credit Risk

Name: Measuring and Managing Credit Risk
Price: 3.87 USD
Availability: InStock
ISBN: 9780071417556

ISBN-10: 0071417559

ISBN-13: 9780071417556

Edition: 2004

Authors: Arnaud de Servigny, Olivier Renault

List price: $85.00

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Description:

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…

Book details

List price: $85.00
Copyright year: 2004
Publisher: McGraw-Hill Education
Publication date: 5/5/2004
Binding: Hardcover
Pages: 480
Size: 6.00" wide x 9.00" long x 2.00" tall
Weight: 1.782
Language: English

Arnaud de Servigny is head of Quantitative Analytics for Standard & Poor's.Norbert Jobst is head of PortfolioResearch in Structured Finance for Standard & Poor’s.



Foreword


Introduction


Acknowledgments



Credit, financial markets, and microeconomics



External and internal ratings



Default risk : quantitative methodologies



Loss given default



Default dependencies



Credit risk portfolio models



Credit risk management and strategic capital allocation



Yield spreads



Structured products and credit derivatives



Regulation


Epilogue


Notes


References


Index