Structured credit products: pricing, rating, risk management and Basel II (Record no. 90890)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02706nam a2200157Ia 4500 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 978-1904339263 |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Perraudin, William Ed. |
| 245 ## - TITLE STATEMENT | |
| Title | Structured credit products: pricing, rating, risk management and Basel II |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2004 |
| Name of publisher, distributor, etc. | Risk Books |
| Place of publication, distribution, etc. | London |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | xvii, 392p |
| Other physical details | 24 cm ; Hard Bound |
| 500 ## - GENERAL NOTE | |
| General note | $178.00 |
| 505 ## - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Section 1: Pricing 1. A Survey of Dependency Modelling: Copulas, Tail Dependence and Estimation Rudiger Kiesel; Rafael Schmidt University of Ulm; LSE 2. Pricing European Structured Product Securities Alexander Batchvarov Merrill Lynch 3. On Correlation in Intensity Models David Lando Copenhagen Business School Section 2: Rating 4. Rating Transitions in Global Structured Finance Jian Hu Moody's Investors Service 5. Credit Risk Analysis and Structured Finance Ratings: Qualitative and Quantitative Methods Kai Gilkes, Nobert Jobst Standard and Poor's 6. CDOs and Correlation Analysis Richard V. Hrvatin, Matthias Neugebauer Fitch 7. The Impact of Credit Rating Changes on the Pricing of Asset-Backed Securities John Ammer, Nathanael Clinton Federal Reserve Board Section 3: Risk Management 8. A Survey of CDOs and Their Use in Bank Balance Sheet Management Domenico Picone Royal Bank of Scotland 9. Asymptotic Model of Economic Capital for Securitisations Michael Pykhtin KeyCorp 10. A Comparative Analysis of CDO Risk Models Olivier Renault; Tom Dewyspelaere, Joao B.C. Garcia Standard and Poor's; Dexia Group 11. Patterns of Risk Diversification in a Securitisation Jeroen de Smet, Viktor Tchistiakov ING Group 12. How Risky are Structured Exposures Compared with Corporate Bonds? William Perraudin; Astrid Van Landschoot Imperial College and Bank of England; National Bank of Belgium Section 4: Basel II 13. Model Foundations for the Supervisory Formula Approach Michael Gordy Federal Reserve Board 14. Capital for Structured Products Vlad Peretyatkin; William Perraudin Birkbeck College; Imperial College and Bank of England 15. An Empirical Test of Basel Risk Weights Applied to Securitisation Alexander Batchvarov; Domenico Picone; Peter-Paul Hoogbruin; Jeroen de Smet; Viktor Tchistiakov Merrill Lynch; Royal Bank of Scotland; ING Group 16. The IRBA treatment of Purchased Receivables Ruediger Gebhard BaFin |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | Written by industry participants, regulators and academics active within the market, this title aids the reader in understanding developments in the pricing, rating and risk management of structured products as well as the related regulatory issues. It concludes with an analysis of the Basel proposals as they relate to structured exposures. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Management |
| -- | Risk management |
| -- | Management |
| -- | Management |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Koha item type | Books |
| Withdrawn status | Lost status | Damaged status | Not for loan | Collection code | Home library | Current library | Shelving location | Date acquired | Total Checkouts | Total Renewals | Full call number | Barcode | Date last seen | Date last checked out | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| GSB Collection | H.T. Parekh Library | 25/03/2010 | 4 | 658.155 RER | 30507 | 24/06/2019 | 24/06/2019 | 22/06/2019 | Books |