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Credit Treasury "A Credit Pricing Guide in Liquid and Non-Liquid Markets"

A Credit Pricing Guide in Liquid and Non-Liquid Markets

Credit Treasury "A Credit Pricing Guide in Liquid and Non-Liquid Markets". A Credit Pricing Guide in Liquid and Non-Liquid Markets

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  • ISBN:9780230279667
  • Editorial: Palgrave
  • Fecha de la edición:
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  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:392
  • Idiomas:Ingles,Inglés

Materias:

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.

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

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