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Credit ratings.

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Credit ratings. --- Commercial ratings --- Credit checks --- Credit guides --- Credit investigations --- Credit reports --- Ratings, Credit

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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 und

Credit --- Risk management --- Credit ratings --- Gestion du risque --- Cotes de solvabilité --- Management --- Mathematical models --- Risk management. --- Credit ratings. --- Management. --- Mathematical models. --- Borrowing --- Finance --- Money --- Loans --- Commercial ratings --- Credit checks --- Credit guides --- Credit investigations --- Credit reports --- Ratings, Credit --- Insurance --- Credit management

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The estimation and the validation of the Basel II risk parameters PD (default probability), LGD (loss given fault), and EAD (exposure at default) is an important problem in banking practice. These parameters are used on the one hand as inputs to credit portfolio models and in loan pricing frameworks, on the other to compute regulatory capital according to the new Basel rules. This book covers the state-of-the-art in designing and validating rating systems and default probability estimations. Furthermore, it presents techniques to estimate LGD and EAD and includes a chapter on stress testing of the Basel II risk parameters. The second edition is extended by three chapters explaining how the Basel II risk parameters can be used for building a framework for risk-adjusted pricing and risk management of loans.

Credit -- Mathematical models. --- Credit ratings -- Mathematical models. --- Risk -- Mathematical models. --- Finance --- Business & Economics --- Investment & Speculation --- Banking --- Finance - General --- Credit --- Risk --- Credit ratings --- Mathematical models. --- Commercial ratings --- Credit checks --- Credit guides --- Credit investigations --- Credit reports --- Ratings, Credit --- Finance. --- Management. --- Economics, Mathematical. --- Econometrics. --- Finance, general. --- Quantitative Finance. --- Economics, Mathematical --- Statistics --- Administration --- Industrial relations --- Organization --- Funding --- Funds --- Economics --- Currency question --- Economics, Mathematical . --- Mathematical economics --- Econometrics --- Mathematics --- Methodology

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Insurance --- Insurance --- Insurance companies --- Insurance companies --- Accounting --- Accounting --- Risk (Insurance) --- Risk (Insurance) --- Assurance --- Assurance --- Compagnies d'assurances --- Compagnies d'assurances --- Comptabilité --- Comptabilité --- Risque (Assurance) --- Risque (Assurance) --- State supervision --- State supervision --- Credit ratings --- Credit ratings --- Standards --- Standards --- Contrôle de l'Etat --- Contrôle de l'Etat --- Cotes de solvabilité --- Cotes de solvabilité --- Normes --- Normes