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

By Gianluca Oricchio

Book Overview

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

• Format: Paperback
• Language: English
• ISBN: 1349327034
• ISBN13: 9781349327034
• Release Date: January 2011
• Publisher: Palgrave MacMillan
• Length: 365 Pages
• Weight: 1.09 lbs.
• Dimensions: 0.9" x 5.5" x 8.5"