Rating Based Modeling of Credit Risk
Trueck, Stefan (Postdoctoral Research Fellow, School of Economics and Finance, Queensland University of Technology, Australia) / Rachev, Svetlozar T. (Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering)
Credit risk is one of the most studied topics in quantitative finance. This book provides an introduction and overview on rating based modeling of credit risk focusing on the theory and application of credit migration matrices. It provides an up-to-date reference to the central problems of the field. Rating Based Modeling of Credit Risk by Trueck and Rachev focuses on the applications of transition matrices including rating-based modeling, est...