TAILIEUCHUNG - Rating Based Modeling of Credit Risk: Theory and Application of Migration Matrices

In the last decade rating-based models have become very popular in credit risk management. These systems use the rating of a company as the decisive variable to evaluate the default risk of a bond or loan. The popularity is due to the straightforwardness of the approach, and to the upcoming new capital accord (Basel II), which allows banks to base their capital requirements on internal as well as external rating systems. Because of this, sophisticated credit risk models are being developed or demanded by banks to assess the risk of their credit portfolio better by recognizing the different underlying sources. | ACADEMIC MESS ADVANCED FINANCE SERIES Rating Based Modeling of Credit Risk THEORY and APPLICATION of MIGRATION MATRICES STEFAN TRUECK SVETLOZAR T. RACHEV Academic Press is an imprint of Elsevier 30 Corporate Drive Suite 400 Burlington MA 01803 USA 525 B Street Suite 1900 San Diego California 92101-4495 USA 84 Theobald s Road London WC1X 8RR UK Copyright 2009 by Elsevier Inc. All rights reserved. No part of this publication may be reproduced or transmitted in any form or by any means electronic or mechanical including photocopy recording or any information storage and retrieval system without permission in writing from the publisher. Permissions may be sought directly from Elsevier s Science Technology Rights Department in Oxford UK phone 44 1865 843830 fax 44 1865 853333 E-mail permissions@. You may also complete your request online via the Elsevier homepage http by selecting Support Contact then Copyright and Permission and then Obtaining Permissions. Library of Congress Cataloging-in-Publication Data Application submitted British Library Cataloguing-in-Publication Data A catalogue record for this book is available from the British Library. ISBN 978-0-12-373683-3 For information on all Academic Press publications visit our Web site at http Printed in the United States of America 08 09 10 987654321 Working together to grow libraries in developing countries I I ELSEVIER MewnMd Sabre Foundation To my parents and Prasheela . To Svetlozar Todorov lotov