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Structured credit products: pricing, rating, risk management and Basel II

By:

Perraudin, William Ed

Material type: Text

TextPublication details: 2004 Risk Books LondonDescription: xvii, 392p 24 cm ; Hard BoundISBN:

978-1904339263

Subject(s):

Management Risk management Management Management

Contents:

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

Summary: 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.

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Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode
Books	H.T. Parekh Library	GSB Collection	658.155 RER (Browse shelf(Opens below))	Available		30507

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Previous	658.155 MCN Quantitative risk management: concepts, techniques and tools	658.155 NER Corporate financial risk management	658.155 PYK Counterparty credit risk modelling; risk management, pricing and regulation	658.155 RER Structured credit products: pricing, rating, risk management and Basel II	658.155 RIS Risk management : value at risk and beyond	658.155 VER Fixed income securities : valuation, risk, and risk management	658.155015195 TOP Financial engineering with finite elements	Next

$178.00

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.

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