Credit Treasury

A Credit Pricing Guide in Liquid and Non-Liquid Markets

Inbunden, Engelska, 2011

Av G. Oricchio, Gianluca Oricchio

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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.

Produktinformation

Utgivningsdatum2011-03-29
Mått152 x 229 x 32 mm
Vikt716 g
FormatInbunden
SpråkEngelska
SerieFinance and Capital Markets Series
Antal sidor365
Upplaga2011
FörlagPalgrave Macmillan
ISBN9780230279667

Tillhör följande kategorier

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