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The Standard & Poor's Guide to Measuring and Managing Credit Risk

Обложка книги The Standard & Poor's Guide to Measuring and Managing Credit Risk

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ISBN: 0071417559, 9780071417556
Издательство: McGraw-Hill
Год издания: 2004
Страниц: 388
Today's most complete, up-to-date reference for controlling credit risk exposure of all types, in every environment Measuring and Managing Credit Risk takes you far beyond the Basel guidelines to detail a powerful, proven program for understanding and controlling your firm’s credit risk. Providing hands-on answers on practical topics from capital management to correlations, and supporting its theories with up-to-the-minute data and insights, this authoritative book examines every key aspect of credit risk, including: Determinants of credit risk and pricing/spread implications Quantitative models for moving beyond Altman’s Z score to separate “good” borrowers from “bad” Key determinants of loss given default, and potential links between recovery rates and probabilities of default Measures of dependency including linear correlation, and the impact of correlation on portfolio losses A detailed review of...
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