バーゼルⅢに基づく格付システム：応用ガイド Basel III Credit Rating Systems : An Applied Guide to Quantitative and Qualitative Models (Finance and Capital Markets)

Izzi, Luisa/ Oricchio, Gianluca/ Vitale, Laura

Palgrave Macmillan（2012/01発売）

• 製本 Hardcover:ハードカバー版／ページ数 344 p.
• 言語 ENG
• 商品コード 9780230294240
• DDC分類 332.7

基本説明

This book is a comprehensive guide to quantitative and qualitative credit rating models and covers all loan portfolios (Corporate, Retail, Banks, Sovereign and Specialized Lending).The credit rating models are illustrated in great detail and are based on the best practices currently in use in large international banking groups. The book also contains pricing tools for liquid and non-liquid markets and is one of the first books on credit risk management published since the crisis.

Full Description

More than ever, banking competition is based on the ability to control the cost of risk and can only be managed with excellent internal rating models and very advanced risk management processes. This book is a comprehensive guide to quantitative and qualitative rating assessments with up-to-date methodologies in the international banking system.

Contents

Foreword Introduction: The Efficient Market Hypothesis (EMH) and Basel III New Banking Regulation PART I: THE QUANTITATIVE APPROACH TO CREDIT RATING MODELS SME Corporate and Retail PD Models Sovereign and Banks Rating Models Exposure at Default Valuation Loss Given Default Estimation Validation of Credit Internal Models PART II: THE QUALITATIVE APPROACH TO CREDIT RATING MODELS The Internal Rating Agency Organization and Scope Expert Judgment Based Rating Assignment Process Slotting Criteria Credit Rating Models Global Recovery Rate (GRR) PART III: RATING ASSIGNMENT ON SPECIALIZED LENDING Rating Assignment on Object Finance Rating Assignment on Telecom Operators PART IV: RISK ADJUSTED CREDIT PRICING MODELS Pricing in Liquid Markets CDS-Implied EDF Credit Measures and Fair-Value Spreads Pricing in Non-Liquid Markets