| 紀錄類型: |
書目-電子資源
: 單行本
|
| 副題名: |
a credit pricing guide in liquid and non-liquid markets |
| 作者: |
OricchioGianluca, 1968- |
| 其他團體作者: |
Palgrave Connect (Online service) |
| 出版地: |
Houndmills, Basingstoke, Hampshire New York |
| 出版者: |
Palgrave Macmillan; |
| 出版年: |
2011 |
| 面頁冊數: |
1 online resource. |
| 集叢名: |
Finance and capital markets series |
| 標題: |
Credit derivatives. - |
| 標題: |
Swaps (Finance) - |
| 標題: |
Default (Finance) - |
| 標題: |
Credit control. - |
| 標題: |
Business. - |
| 標題: |
BUSINESS & ECONOMICS - Investments & Securities - |
| 電子資源: |
http://www.palgraveconnect.com/doifinder/10.1057/9780230307308An electronic book accessible through the World Wide Web; click for information |
| 附註: |
Description based on print version record. |
| 摘要註: |
The recent financial crisis found its roots within the credit market and quickly broadened to all other asset classes. It rapidly beclme a crisis of the real economy and has caused a deep recession. We have learnt that healthy credit markets play a fundamental role in the efficient functioning of global financial markets. Proper credit risk evaluation and pricing are crucial elements for the stability of the economic system. At the same time, markets have become ever more complex, comprising not only the exchange of illiquid goods but also liquid and hybrid products. The management of credit portfolios has never been so tricky and yet so important. This book presents the state of the art with respect to credit risk evaluation and pricing within the contemporary global banking and financial industry and is based on the experience of one of the largest banks worldwide. |
| ISBN: |
9780230307308electronic bk. |
| ISBN: |
0230307302electronic bk. |
| 內容註: |
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. |