Basel III credit rating systems: an applied guide to quantitative and qualitative models
Gespeichert in:
| Beteiligte Personen: | , , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Basingstoke
Palgrave Macmillan
2012
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Palgrave Macmillan Finance and capital markets series
|
| Schlagwörter: | |
| Links: | http://www.netread.com/jcusers2/bk1388/240/9780230294240/image/lgcover.9780230294240.jpg http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024702547&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Beschreibung: | Literaturverz. S. 339 - 342 |
| Umfang: | XX, 344 S. graph. Darst. |
| ISBN: | 9780230294240 |
Internformat
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Datensatz im Suchindex
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|---|---|
| adam_text | IMAGE 1
CONTENTS
LIST OF FIGURES VIII LIST OF TABLES XII LIST OF ABBREVIATIONS XV
ACKNOWLEDGEMENTS XVIII FOREWORD BY FABIO GALLIA XIX 1 INTRODUCTION: THE
EFFICIENT MARKET HYPOTHESIS AND BASEL III NEW BANKING REGULATIONS 1 PART
I THE QUANTITATIVE APPROACH TO CREDIT RATING MODELS 2 CORPORATE SME AND
RETAIL PD MODELS 112. 1 PD CORPORATE SME MODEL DEVELOPMENT 112.2 PD
CORPORATE SME SUB-SEGMENT MODELS 43 2.3 PD RETAIL MODELS DEVELOPMENT 60
3 SOVEREIGN AND BANKS RATING MODELS 68 3.1 COUNTRY RATING MODEL 713.2
BANK RATING MODEL 77 4 EXPOSURE AT DEFAULT VALUATION 89 4.1 CALCULATING
EAD COMPONENTS 924.2 GRANULARITY OF CCF 954.3 APPLICATION OF AVERAGE
VALUES TO THE CURRENT PORTFOLIO 96 4.4 FROM HISTORICAL MEDIUM VALUE TO
AN EX ANTE EAD MODEL 97 5 LOSS GIVEN DEFAULT ESTIMATION 102 5.1
STRUCTURE OF THE LGD WORKOUT CALCULATION 102 5.2 DOWNTURN LGD 1105.3
FROM WORKOUT TO AN EX ANTE LGD MODEL 111
IMAGE 2
I VI I CONTENTS
6 VALIDATION OF INTERNAL CREDIT MODELS 114
6.1 VALIDATION OF THE PD MODEL 116
6.2 LGD MODEL VALIDATION 121
6.3 EAD MODEL S VALIDATION 125
6.4 PD VALIDATION STATISTICAL TEST 133
PART II THE QUALITATIVE APPROACH TO CREDIT RATING MODELS
7 THE INTERNAL RATING AGENCY: ORGANIZATION AND SCOPE 147
8 EXPERT JUDGMENT-BASED RATING ASSIGNMENT PROCESS 155 8.1 INTRODUCTION
155
8.2 OBLIGOR CORPORATE DEFINITION 156
8.3 RATING HORIZON 157
8.4 HIGH-LEVEL STEP-BY-STEP GUIDE TO FINAL RATING 158
8.5 KEY DRIVERS OF THE STAND-ALONE RATING 161
8.6 DEFINITION OF SUPPORT 171
8.7 IDENTIFICATION OF THE SUPPORT ENTITY 172
8.8 NATURE OF SUPPORT 173
8.9 FINAL RATING 177
8.10 RATING ASSIGNMENT ON INVESTMENT HOLDING COMPANIES 178 8.11
IMPLICATION OF CONVERTIBILITY RISK 180
9 SLOTTING CRITERIA CREDIT RATING MODELS 182
9. 1 FROM RISK FACTORS TO MATURITY PROFILES 182
9.2 MATURITY PROFILES AND THE SLOTTING PROCESS 186
9.3 PUTTING IT ALL TOGETHER: THE IMPORTANCE OF SLOTTING 188
10 GLOBAL RECOVERY RATE 194
10.1 INTRODUCTION 194
10.2 UNSECURED GLOBAL RECOVERY RATE: DEFINITION AND DRIVERS 196 10.3
SECURED GLOBAL RECOVERY RATE 198
10.4 PARTICULAR CASES OF GLOBAL RECOVERY RATE 203
10.5 EXPOSURE AT DEFAULT VALUATION 204
PART HI RATING ASSIGNMENT ON SPECIALIZED LENDING
11 RATING ASSIGNMENT ON PROJECT FINANCE 209
11.1 PROJECT PHASE RATING 209
11 .2 PROJECT S STAND-ALONE RATING 211
11.3 SUPPORT AND FINAL RATING 211
IMAGE 3
CONTENTS F . V I I *|
11.4 SENIOR UNSECURED GRR 211
11.5 GRR SECURED AT THE FACILITY LEVEL 212
12 RATING ASSIGNMENT ON OBJECT FINANCE 215
12.1 RATING ASSIGNMENT ON LBOS 215
12.2 RATING ASSIGNMENT ON SHIPPING FINANCE 220
12.3 RATING ASSIGNMENT ON AIRLINES AND OPERATING LESSORS 225
13 RATING ASSIGNMENT ON TELECOM OPERATORS 232
13.1 STAND-ALONE RATING 233
PART IV RISK-ADJUSTED CREDIT PRICING MODELS
14 PRICING IN LIQUID MARKETS 243
14.1 INTRODUCTION 243
14.2 THE MERTON STRUCTURAL DEFAULT MODEL 1 243
14.3 THE MATHEMATICAL MODEL 250
14.4 NELSON-SIEGEL: A PARAMETRIC APPROACH 251
14.5 THE CREDIT DEFAULT SWAP 5 251
14.6 LIQUID CURVES 254
14.7 NON-LIQUID CURVES 255
15 CDS-IMPLIED EDF CREDIT MEASURES AND FAIR-VALUE SPREADS 257 15.1
INTRODUCTION 257
15.2 OVERVIEW 258
15.3 PRACTICAL APPLICATIONS OF CDS-IMPLIED EDF MEASURES AND FAIR-VALUE
SPREADS 260
15.4 CDS-IMPLIED EDF MODEL AND FAIR-VALUE SPREAD MODEL 272 15.5 APPLYING
THE FRAMEWORK TO SOVEREIGNS 284
15.6 SUMMARY 293
15.7 FREQUENTLY ASKED QUESTIONS 294
16 PRICING IN NONLIQUID MARKETS 302
16.1 INTRODUCTION 302
16.2 TRANSITION MATRIX STATE: DEPENDENT PRICING MODEL 311 16.3 ANALYTICS
OF PRICING MODELS 323
16.4 PRICING OF A PRE-PAYMENT OPTION 330
NOTES 334
REFERENCES 339
INDEX 343
|
| any_adam_object | 1 |
| author | Izzi, Luisa Oricchio, Gianluca 1968- Vitale, Laura |
| author_GND | (DE-588)1012655172 |
| author_facet | Izzi, Luisa Oricchio, Gianluca 1968- Vitale, Laura |
| author_role | aut aut aut |
| author_sort | Izzi, Luisa |
| author_variant | l i li g o go l v lv |
| building | Verbundindex |
| bvnumber | BV039842665 |
| classification_rvk | QK 320 QK 950 |
| ctrlnum | (OCoLC)748328611 (DE-599)GBV679658130 |
| dewey-full | 332.7 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.7 |
| dewey-search | 332.7 |
| dewey-sort | 3332.7 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
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| id | DE-604.BV039842665 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T16:03:36Z |
| institution | BVB |
| isbn | 9780230294240 |
| language | English |
| lccn | 2011049691 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-024702547 |
| oclc_num | 748328611 |
| open_access_boolean | |
| owner | DE-11 DE-945 DE-703 DE-573 DE-1050 |
| owner_facet | DE-11 DE-945 DE-703 DE-573 DE-1050 |
| physical | XX, 344 S. graph. Darst. |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Palgrave Macmillan |
| record_format | marc |
| series2 | Palgrave Macmillan Finance and capital markets series |
| spellingShingle | Izzi, Luisa Oricchio, Gianluca 1968- Vitale, Laura Basel III credit rating systems an applied guide to quantitative and qualitative models Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)7842492-6 gnd Rating (DE-588)4255219-9 gnd |
| subject_GND | (DE-588)7842492-6 (DE-588)4255219-9 |
| title | Basel III credit rating systems an applied guide to quantitative and qualitative models |
| title_auth | Basel III credit rating systems an applied guide to quantitative and qualitative models |
| title_exact_search | Basel III credit rating systems an applied guide to quantitative and qualitative models |
| title_full | Basel III credit rating systems an applied guide to quantitative and qualitative models Luisa Izzi, Gianluca Oricchio and Laura Vitale |
| title_fullStr | Basel III credit rating systems an applied guide to quantitative and qualitative models Luisa Izzi, Gianluca Oricchio and Laura Vitale |
| title_full_unstemmed | Basel III credit rating systems an applied guide to quantitative and qualitative models Luisa Izzi, Gianluca Oricchio and Laura Vitale |
| title_short | Basel III credit rating systems |
| title_sort | basel iii credit rating systems an applied guide to quantitative and qualitative models |
| title_sub | an applied guide to quantitative and qualitative models |
| topic | Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)7842492-6 gnd Rating (DE-588)4255219-9 gnd |
| topic_facet | Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung Rating |
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