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Rating Based Modeling of Credit Risk

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In Stock (891)

£ 91.79

Description

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. This book addresses one aspect of these ratings systems which is credit migrations.

Book Details
EAN:
9780123736833
Binding:
Hardback
Dimensions(mm):
239 x 160 x 21
Publication Date:
2009-01-15
Publication Country:
United States