Credit Risk From Transaction to Portfolio Management --*English

Тема в разделе "Литература", создана пользователем mitter, 12 мар 2007.

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Модераторы: Hilo
  1. mitter


    14 сен 2006
    Credit Risk From Transaction to Portfolio Management:
    The last few years have seen enormous change within the credit markets posing considerable challenges to the author. Not least amongst these is to distinguish between long-term structures and short-term trends. In particular, we have recently seen concerted efforts to develop a secondary market in trenched products, together with any number of portfolio models to assess their risk characteristics. Rather the attempt has been to take a step back and to develop on themes common to all types of credit exposure. The convergence of the loan and traditional fixed income credit business, due in part to reasonable quantitative modelling, has made this a worthwhile exercise. Consequently, rather than elaborating upon disparate portfolio models the text focuses on underlying structural models and their application within the industry. The central idea is a 'credit portfolio' and the core business areas are covered within the initial chapters. Subsequently, the idea of credit derivatives and securitization as a way of modifying portfolio exposure is treated within the remainder.
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