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Credit Treasury: A Credit Pricing Guide in Liquid and Non-Liquid Markets de G. Oricchio

Credit Treasury: A Credit Pricing Guide in Liquid and Non-Liquid Markets: Finance and Capital Markets Series

Autor G. Oricchio
en Limba Engleză Paperback – 2011
This book presents the state-of-the-art with respect to credit risk evaluation and pricing within the contemporary global banking and financial system. It focuses on credit pricing in illiquid, liquid and hybrid markets. No one with any connection to the credit management business will be able to do without it.
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Specificații

ISBN-13: 9781349327034
ISBN-10: 1349327034
Pagini: 365
Ilustrații: XXIII, 365 p.
Dimensiuni: 140 x 216 mm
Greutate: 0.49 kg
Ediția:1st ed. 2011
Editura: Palgrave Macmillan UK
Colecția Palgrave Macmillan
Seria Finance and Capital Markets Series

Locul publicării:London, United Kingdom

Cuprins

Introduction PART I: PRICING IN LIQUID MARKETS Introduction The Merton Structural Default Model Nelson-Siegel: A Parametric Approach PART II: PRICING IN NON LIQUID MARKETS Introduction Internal Rating and Pricing Models PIT and TTC Rating Systems: Influence on the Insurance Pricing Incorporating Market View in Pricing Models Probability of Default Transition Matrix State - Dependent Pricing Model Usage Given Default (Exposure at Default) Loss Given Default Analytics of Pricing Models Pricing of a Pre-Payment Option PART III: HYBRID PRODUCTS Introduction Moody's Approach Standard and Poor's Approach PART IV: CONSISTENCY ANALYSIS BETWEEN EVA METRICS AND CREDIT PRICING Introduction - Market Based Pricing vs EVA IRB Pricing Approach: A Consistent Framework

Notă biografică

GIANLUCA ORICCHIO has held senior capital and risk management positions at several global financial institutions for twenty years. He has been Head of ACPM at Capitalia Banking Group and Head Group Credit Treasury at Unicredit Group. He has written several books on financial markets, corporate finance and risk management.