Credit Risk Management: Basic Concepts is the first book of a series of three with the
objective of providing an overview of all aspects, steps, and issues that should be …

Over the past ten years, credit rating agencies have come under intense criticism from both
practitioners and academics, first for their failure to identify problems resulting in …

This paper assesses the impact of asset backed ratings on the Merrill Lynch US Asset
Backed Securities and Commercial Mortgage Backed Securities Index (CABs index) over a …

The insurance sector has witnessed a considerably changing landscape in terms of
regulation and the role of Credit Rating Agencies (CRAs). The coverage of these issues in …

Rozdział pierwszy poświęcono w całości zagadnieniu identyfikacji ryzyka, które jest
podejmowane w trakcie tworzenia struktur finansowania zintegrowanego. Ryzyko …

Market price-based measures of credit risk have become commonplace in single-name risk
management, but they are lacking for structured credit instruments such as CDOs. In this …

Using the framework of survival analysis and data from Standard & Poor's CreditPro 2005
dataset, we develop Cox proportional hazard models to estimate time-varying rating …

Absolute or Relative ? What standards do rating agencies follow? Authors Dr. Richard D.
Phillips Bruce A Palmer Associate Profes Page 1 Absolute or Relative ? What standards do …

Le cheminement d'une thèse conduit à la rencontre, aux conseils et aux soutiens de
personnes impliquées dans cette aventure si particulière. Il n'est donc pas de meilleure …

In Hu and Cantor [2004] we define a structured security as in payment default if it suffers
either an interest shortfall or a principal write-down. A payment default is called cured as of a …