Measuring and managing credit risk - Servigny, Arnaud de; Renault, Olivier (New York : McGraw-Hill, 2004)
Credit, financial markets, and microeconomics -- External and internal ratings -- Default risk : quantitative methodologies -- Loss given default -- Default dependencies -- Credit risk portfolio models -- Credit risk management and strategic capital allocation -- Yield spreads -- Structured products and credit derivatives -- Regulation
Includes bibliographical references and index
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Keywords: Cotes de solvabilite; Credit ratings; Credit -- Gestion -- Modeles mathematiques; Credit -- Management -- Mathematical models; Defaillance (Finances); Default (Finance); Derivative securities; Gestion du risque -- Modeles mathematiques; Instruments derives (Finances); Risk management -- Mathematical models