Product Description

The only title that combines discussion and analysis on the methodologies employed by the major rating agencies together with those actually implemented internally by credit practitioners from financial institutions. Additional contributions come from regulatory bodies and academics involved in the credit ratings process.

Provides a unique insight and overview into the many types of ratings that are in use today enabling you to compare and contrast the benefits as well as the potential pitfalls and peculiarities of the various systems. Designed to help you implement or assess your own internal credit ratings systems with an overview of what is currently available and will alert you to possible problems with individual ratings systems. Will help to ensure your internal credit rating systems are in line with current regulatory requirements by presenting background information on the new Basel 'Internal Ratings Based Approach' as well as drawing upon relevant case studies that have been carried out on banks preparedness for this. Presents an up-to-date discussion on how corporate scandals, such as Enron occurred, together with retrospective analysis of the behaviour of public ratings to them. Discusses the possible flaws associated with the dependence on external ratings in particular situations.

Multi-contributor format edited by the best-selling author and practitioner Michael K. Ong.

Product Details

• Amazon Sales Rank: #956944 in Books
• Published on: 2002-10-29
• Original language: English
• Binding: Hardcover
• 535 pages

Features

• ISBN13: 9781899332694
• Condition: USED - LIKE NEW
• Notes:
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Review
The book contains a wealth of useful ideas. People concerned with credit risk evaluation will find it a useful acquisition. -- John Hull

About the Author
Michael K. Ong is an executive vice president and chief risk officer for the Americas for Credit Agricole Indosuez. He is member of the executive committee. Before joining Credit Agricole Indosuez, Michael was senior vice president and head of enterprise risk management at ABN Amro Bank, and head of the corporate research unit at First Chicago NBD Corporation, where he was the chair of the global risk management research council and head of the market risk analysis unit. Michael has served as an assistant professor of mathematics at Bowdoin College and he is also an adjunct professor at the Stuart School of Business of the Illinois Institute of Technology. He is author of the critically acclaimed book, Internal Credit Risk Models, published by Risk Books in 1998. He received a BS degree in physics, cum laude, from the University of the Philippines, and an MA degree in physics and MS and PhD degrees in applied mathematics from the State University of New York at Stony Brook. Michael is a member of the editorial boards of the Journal of Financial Regulation and Compliance and Journal of Risk.

Customer Reviews

A Taxonomy of Credit Models
This well edited collection of the most critical and state-of-the-art models in both asset-level and portfolio credit models is a must have for any serious practitioner in the credit markets.
The subjects range from simple loan scoring approaches to complex CDO portfolio rating approaches and span every asset and approach in-between.
An excellent reference for credit risk managers and portfolio managers alike.