Credit Treasury

Name: Credit Treasury
Author: G. Oricchio

A Credit Pricing Guide in Liquid and Non-Liquid Markets

Gebonden Engels 2011 9780230279667

183,90

In winkelwagen

Verwachte levertijd ongeveer 9 werkdagen

Samenvatting

This book presents the state-of-the-art with respect to credit risk evaluation and pricing within the contemporary global banking and financial system. It focuses on credit pricing in illiquid, liquid and hybrid markets. No one with any connection to the credit management business will be able to do without it.

Specificaties

ISBN13:9780230279667

Taal:Engels

Bindwijze:gebonden

Uitgever:Palgrave Macmillan UK

Hoofdrubriek:Financieel management, Leiderschap, Financieel management

Serie:Finance and Capital Markets Series

Lezersrecensies

Wees de eerste die een lezersrecensie schrijft!

Schrijf een recensie

Uw cijfer

?

Log in om te stemmen

Inhoudsopgave

Introduction PART I: PRICING IN LIQUID MARKETS Introduction The Merton Structural Default Model Nelson-Siegel: A Parametric Approach PART II: PRICING IN NON LIQUID MARKETS Introduction Internal Rating and Pricing Models PIT and TTC Rating Systems: Influence on the Insurance Pricing Incorporating Market View in Pricing Models Probability of Default Transition Matrix State - Dependent Pricing Model Usage Given Default (Exposure at Default) Loss Given Default Analytics of Pricing Models Pricing of a Pre-Payment Option PART III: HYBRID PRODUCTS Introduction Moody's Approach Standard and Poor's Approach PART IV: CONSISTENCY ANALYSIS BETWEEN EVA METRICS AND CREDIT PRICING Introduction - Market Based Pricing vs EVA IRB Pricing Approach: A Consistent Framework