Credit treasury: a credit pricing guide in liquid and non-liquid markets

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. GIANLUCA ORICCHIO has held senior capital and risk management positions atseveral 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. INDICE: 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 atDefault) - 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

• ISBN: 978-0-230-27966-7
• Editorial: Palgrave MacM
• Encuadernacion: Cartoné
• Páginas: 392
• Fecha Publicación: 31/03/2011
• Nº Volúmenes: 1
• Idioma: Desconocido