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Credit treasury = a credit pricing guide in liquid and non-liquid markets /

紀錄類型:	書目-電子資源 : 單行本
正題名/作者:	Credit treasury/ Gianluca Oricchio.
其他題名:	a credit pricing guide in liquid and non-liquid markets /
作者:	Oricchio, Gianluca,
出版者:	Houndmills, Basingstoke, Hampshire ;Palgrave Macmillan, : 2011.,
面頁冊數:	1 online resource.
標題:	Credit derivatives. -
電子資源:	An electronic book accessible through the World Wide Web; click for information
ISBN:	9780230307308 (electronic bk.)

Credit treasury = a credit pricing guide in liquid and non-liquid markets /
Oricchio, Gianluca,1968-

Credit treasurya credit pricing guide in liquid and non-liquid markets /[electronic resource] :Gianluca Oricchio. - Houndmills, Basingstoke, Hampshire ;Palgrave Macmillan,2011. - 1 online resource. - Finance and capital markets series. - Finance and capital markets..

Includes bibliographical references (p. 359-364) and index.

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.

The recent financial crisis found its roots within the credit market and quickly broadened to all other asset classes. It rapidly became 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: 9780230307308 (electronic bk.)

Standard No.: 9786613097279

Source: 474791Palgrave Macmillanhttp://www.palgraveconnect.comSubjects--Topical Terms:

233843
Credit derivatives.
Index Terms--Genre/Form:

96803
Electronic books.

LC Class. No.: HG6024.A3 / O75 2011

Dewey Class. No.: 332.64/5

Credit treasury = a credit pricing guide in liquid and non-liquid markets /
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