- Shopping Bag ( 0 items )
From the Publisher"... an excellent overview of theory and application...."
—Frank J. Fabozzi, PhD, CFA, Professor in the Practice of Finance, Yale School of Management, CT
*Internal ratings-based systems are widely used in banks to calculate their value-at-risk (VAR) in order to determine their capital requirements for loan and bond portfolios under Basel II
*One aspect of these ratings systems is credit migrations, addressed in a systematic and comprehensive way for the first time in this book
*The book is based on in-depth work by Trueck and Rachev,