Front cover image for Credit ratings : Methodologies, rationale and default risk

Credit ratings : Methodologies, rationale and default risk

Michael K. Ong (Editor)
In a time of numerous corporate failures, companies need to be increasingly certain that they are minimising their risk and managing their exposures (such as corporate lending) correctly. This title comprises critical analysis and discussion on the methodologies used and implemented by, not only the major rating agencies, who are involved in producing public ratings, but also those rating systems used internally by institutions. This title brings together views from the ratings agencies themselves, the founders of different rating systems, credit practitioners involved in implementing their own internal rating systems and those who represent the regulatory bodies that are monitoring ratings processes
Print Book, English, 2002
Risk Books, London, 2002
534 s
9781899332694, 1899332693
Rating credits: Introduction, Michael Ong; The A to Z of Standard and Poor's Ratings, Chris Dinwoodie; Historical Corporate Rating Migration, Default and Recovery Rates, David Hamilton; Cyclical Effects in Credit Risk Ratings and Default Risk, Linda Allen, Anthony Saunders. Rating agencies: Introduction, Michael Ong; An Analysis of the Credit Rating Industry, Lawrence J. White; The Meaning of Agency Ratings
A Behavioural Model of Rating Assignment, Sean C. Keenan, Jorge R. Sobehart; Hybrid Contingent Claims Models
A Practical Approach to Modelling Default Risk, Jorge R. Sobehart, Sean C. Keenan. Credit scoring techniques: Introduction, Michael Ong; Revisiting Credit Scoring Models in a Basel II Environment, Edward I. Altman; Credit Scoring for Corporate Debt, Eric Falkenstein; Scoring and Validating Techniques for Credit Risk Rating Systems, Sebastian G. Fritz, Lars Popken, Christian Wagner; Replicating Agency Ratings through Multinomial Scoring Models, Andrea Resti; Capital Ratios and Credit Ratings as Predictors of Bank Failures, Arturo Estrella, Stavros Peristiani. Regulatory issues on credit ratings: Introduction, Michael Ong; Regulatory use of Credit Ratings
Implications for Banks, Supervisors and Markets, Barbara C. Matthews; Regulatory Capital Based on Bank Internal Ratings of Credit Risk, Jeffrey A. Brown; Supervisory and Regulatory Concerns Regarding Bank Internal Rating Systems, Jose A. Lopez, Marc R. Saidenberg; Regulatory Issues on Credit Ratings, David M. Rowe, Dean Jovic, Marcel Beutler. Internal rating systems of banks: Introduction, Michael Ong; Credit Culture, Dev Strischek; Internal Risk Rating Systems, Michel Crouhy, Dan Galai, Bob Mark; The New Capital Accord and Internal Bank Ratings, Donald R. van Deventer, Jaqueline Outram; Designing and Implementing Effective Credit Rating Systems, Thomas Garside, Jonathon Greenman; Preparing for the Internal Ratings-Based Approach, Andrea Szczesny, Ralf Ewert; Some Evidence on the Consistenc