Rating Based Modeling of Credit Risk
Theory and Application of Migration Matrices
Credit risk is one of the most studied topics in quantitative finance. This book provides an introduction and overview on rating based modeling of credit risk focusing on the theory and application of credit migration matrices. It provides an up-to-date reference to the central problems of the field. Rating Based Modeling of Credit Risk by Trueck and Rachev focuses on the applications of transition matrices including rating-based modeling, estimation techniques, Value-at-Risk simulation, adjustment and forecasting migration matrices, corporate-yield curve dynamics, dependent defaults and migrations, credit derivatives and collateralized debt…
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Produktdetails
Weitere Autoren: Rachev, Svetlozar T. (Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering)
- ISBN: 978-0-12-373683-3
- EAN: 9780123736833
- Produktnummer: 4146316
- Verlag: Elsevier Science Publishing Co Inc
- Sprache: Englisch
- Erscheinungsjahr: 2009
- Seitenangabe: 280 S.
- Masse: H23.9 cm x B16.0 cm x D2.1 cm 576 g
- Gewicht: 576
- Sonstiges: Professional & Vocational
Über den Autor
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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