mixed material bibliography London Risk Books 2003 en English

Printed Material

xxxiii, 534 p. : figs., tabs., bibs., index ; 31 c The only title that combines discussion and analysis on the methodologies employed by the major rating agencies together with those actually implemented internally by credit practitioners from financial institutions. Additional contributions come from regulatory bodies and academics involved in the credit ratings process. Provides a unique insight and overview into the many types of ratings that are in use today enabling you to compare and contrast the benefits as well as the potential pitfalls and peculiarities of the various systems. Designed to help you implement or assess your own internal credit ratings systems with an overview of what is currently available and will alert you to possible problems with individual ratings systems. Will help to ensure your internal credit rating systems are in line with current regulatory requirements by presenting background information on the new Basel ’Internal Ratings Based Approach’ as well as drawing upon relevant case studies that have been carried out on banks preparedness for this. Presents an up-to-date discussion on how corporate scandals, such as Enron occurred, together with retrospective analysis of the behaviour of public ratings to them. Discusses the possible flaws associated with the dependence on external ratings in particular situations. TABLE OF CONTENTS Rating credits 1. The A to Z of Standard and Poor’s Ratings Chris Dinwoodie of Standard and Poor’s 2. Historical Corporate Rating Migration, Default and Recovery Rates David Hamilton of Moody’s Investors Service 3. Cyclical Effects in Credit Risk Ratings and Default Risk Linda Allen of Zicklin School of Business, Baruch College, City University of New York and Anthony Saunders of Stern School of Business, New York University Rating agencies 4. An Analysis of the Credit Rating Industry Lawrence J. White of Stern School of Business, New York University 5. The Meaning of Agency Ratings: A Behavioural Model of Rating Assignment Sean C. Keenan and Jorge R. Sobehart of CitiGroup Risk Architecture 6. Hybrid Contingent Claims Models: A Practical Approach to Modelling Default Risk Jorge R. Sobehart and Sean C. Keenan of CitiGroup Risk Architecture Credit scoring techniques 7. Revisiting Credit Scoring Models in a Basel II Environment Edward I. Altman of Stern School of Business, New York University 8. Credit Scoring for Corporate Debt Eric Falkenstein of Deephaven Capital Management 9. Scoring and Validating Techniques for Credit Risk Rating Systems Sebastian G. Fritz, Lars Popken and Christian Wagner of Credit Risk Management, Risk Analytics and Instruments, Deutsche Bank AG 10. Replicating Agency Ratings through Multinomial Scoring Models Andrea Resti of Bergamo University 11. Capital Ratios and Credit Ratings as Predictors of Bank Failures Arturo Estrella and Stavros Peristiani of Federal Reserve Bank of New York and Sangkyun Park of Office of Management and Budget Regulatory issues on credit ratings 12. Regulatory use of Credit Ratings: Implications for Banks, Supervisors and Markets. Barbara C. Matthews of Institute of International Finance 13. Regulatory Capital Based on Bank Internal Ratings of Credit Risk Jeffrey A. Brown of Risk Analytics Division, Office of the Comptroller of the Currency 14. Supervisory and Regulatory Concerns Regarding Bank Internal Rating Systems Jose A. Lopez of Federal Reserve Bank of San Francisco and Marc R. Saidenberg of Federal Reserve Bank of New York 15. Regulatory Issues on Credit Ratings David M. Rowe, Dean Jovic and Marcel Beutler of SunGard Trading and Risk Systems Internal rating systems of banks 16. Credit Culture Dev Strischek of SunTrust Bank Inc 17. Internal Risk Rating Systems Michel Crouhy, Dan Galai and Bob Mark of CIBC 18. The New Capital Accord and Internal Bank Ratings Donald R. van Deventer and Jaqueline Outram of Kamakura Corporation 19. Designing and Implementing Effective Credit Rating Systems Thomas Garside and Jonathon Greenman of Oliver, Wyman & Company 20. Preparing for the Internal Ratings-Based Approach Andrea Szczesny and Ralf Ewert of Johann Wolfgang Goethe University, Frankfurt 21. Some Evidence on the Consistency of Banks’ Internal Ratings Mark Carey of Federal Reserve Board Credit ratings of asset securitisations 22. Measuring Portfolio Credit Risk with Default Experience Statistic (DES) Arthur M. Berd of Lehman Brothers 23. EL and DP Approaches to Rating CDOs and the Scope for "Ratings Shopping" William Perraudin and Vladislav Peretyatkin of Birkbeck, University of London 24. Rating Based on Credit Portfolio Models Ludger Overbeck and Hans Lotter of Deutsche Bank AG EEK 1899332693 Perpustakaan - Sekolah Tinggi Manajemen PPM Pusat Informasi Manajemen EEK Cre 32041 General (General) EEK Cre 29518 2004-07-08 00:00:00 2026-03-04 12:06:09 machine generated