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  • RATING BASED MODELING OF CREDIT RISK: THEORY AND APPLICATION OF MIGRATION MATRICES
    ebook
    RATING BASED MODELING OF CREDIT RISK: THEORY AND APPLICATION OF MIGRATION MATRICES
    TRUECK, STEFAN / RACHEV, SVETLOZAR T.
    In the last decade rating-based models have become very popular in credit risk management. These systems use the rating of a company as the decisive variable to evaluate the default risk of a bond or loan. The popularity is due to the straightforwardness of the approach, and to the upcoming new capital accord (Basel II), which allows banks to base their capital requirements on ...

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