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Basel III credit rating systems : an applied guide to quantitative and qualitative models

Author: Luisa Izzi; Laura Vitale; Gianluca Oricchio
Publisher: Houndmills, Basingstoke, Hampshire ; New York : Palgrave Macmillan, 2012.
Series: Finance and capital markets.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
The market turmoil and the new Basel III capital requirements are re-shaping the financial competitive landscape. More than ever, banking competition is based on the ability to assess, to price and to manage the cost of credit risk. Bankers are increasingly called to manage a process of analysis of the customer in a more structured way. This book is a comprehensive guide to quantitative and qualitative credit rating  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Izzi, Luisa, 1970-
Basel III credit rating systems.
Houndmills, Basingstoke, Hampshire ; New York : Palgrave Macmillan, 2012
(DLC) 2011049691
(OCoLC)748328611
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Luisa Izzi; Laura Vitale; Gianluca Oricchio
ISBN: 9780230361188 0230361188
OCLC Number: 793110806
Description: 1 online resource (xx, 344 pages) : illustrations.
Contents: Foreword --
Introduction: The Efficient Market Hypothesis (EMH) and Basel III New Banking Regulation --
PART I: THE QUANTITATIVE APPROACH TO CREDIT RATING MODELS --
SME Corporate and Retail PD Models --
Sovereign and Banks Rating Models --
Exposure at Default Valuation --
Loss Given Default Estimation --
Validation of Credit Internal Models --
PART II: THE QUALITATIVE APPROACH TO CREDIT RATING MODELS --
The Internal Rating Agency Organization and Scope --
Expert Judgment Based Rating Assignment Process --
Slotting Criteria Credit Rating Models --
Global Recovery Rate (GRR) --
PART III: RATING ASSIGNMENT ON SPECIALIZED LENDING --
Rating Assignment on Object Finance --
Rating Assignment on Telecom Operators --
PART IV: RISK ADJUSTED CREDIT PRICING MODELS --
Pricing in Liquid Markets --
CDS-Implied EDF Credit Measures and Fair-Value Spreads --
Pricing in Non-Liquid Markets.
Series Title: Finance and capital markets.
Responsibility: Luisa Izzi, Gianluca Oricchio and Laura Vitale.
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Abstract:

More than ever, banking competition is based on the ability to control the cost of risk and can only be managed with excellent internal rating models and very advanced risk management processes. This  Read more...

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