Coverart for item
The Resource Credit treasury : a credit pricing guide in liquid and non-liquid markets, Gianluca Oricchio, (electronic book)

Credit treasury : a credit pricing guide in liquid and non-liquid markets, Gianluca Oricchio, (electronic book)

Label
Credit treasury : a credit pricing guide in liquid and non-liquid markets
Title
Credit treasury
Title remainder
a credit pricing guide in liquid and non-liquid markets
Statement of responsibility
Gianluca Oricchio
Creator
Subject
Language
eng
Summary
  • 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.
  • The recent financial crisis found its roots within the credit market and quickly broadened to all other asset classes. It rapidly became a crisis of the real economy and has caused a deep recession. We have learnt that healthy credit markets play a fundamental role in the efficient functioning of global financial markets. Proper credit risk evaluation and pricing are crucial elements for the stability of the economic system. At the same time, markets have become ever more complex, comprising not only the exchange of illiquid goods but also liquid and hybrid products. The management of credit portfolios has never been so tricky and yet so important. This book presents the state of the art with respect to credit risk evaluation and pricing within the contemporary global banking and financial industry and is based on the experience of one of the largest banks worldwide
Member of
Cataloging source
UK-WkNB
http://library.link/vocab/creatorName
Oricchio, Gianluca
Illustrations
illustrations
Index
no index present
Literary form
non fiction
Series statement
Finance and capital markets series
http://library.link/vocab/subjectName
  • Credit control
  • Risk assessment
  • Credit
  • Credit derivatives
  • Swaps (Finance)
  • Default (Finance)
  • Credit control
Summary expansion
The recent financial crisis found its roots within the credit market and quickly broadened to all other asset classes. It rapidly became a crisis of the real economy and has caused a deep recession. We have learnt that healthy credit markets play a fundamental role in the efficient functioning of global financial markets. Proper credit risk evaluation and pricing are crucial elements for the stability of the economic system. At the same time, markets have become ever more complex, comprising not only the exchange of illiquid goods but also liquid and hybrid products. The management of credit portfolios has never been so tricky and yet so important. This book presents the state of the art with respect to credit risk evaluation and pricing within the contemporary global banking and financial industry and is based on the experience of one of the largest banks worldwide
Label
Credit treasury : a credit pricing guide in liquid and non-liquid markets, Gianluca Oricchio, (electronic book)
Instantiates
Publication
Bibliography note
Includes bibliographical references (p. 359-364) and index
Contents
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
Control code
9780230307308
Form of item
electronic
Governing access note
Users can print and/or download individual articles/chapters and other individual items from Palgrave Connect ebooks, limited to no more than one chapter per title per authorised user
Isbn
9780230307308
Specific material designation
unspecified
Type of computer file
PDF.
Label
Credit treasury : a credit pricing guide in liquid and non-liquid markets, Gianluca Oricchio, (electronic book)
Publication
Bibliography note
Includes bibliographical references (p. 359-364) and index
Contents
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
Control code
9780230307308
Form of item
electronic
Governing access note
Users can print and/or download individual articles/chapters and other individual items from Palgrave Connect ebooks, limited to no more than one chapter per title per authorised user
Isbn
9780230307308
Specific material designation
unspecified
Type of computer file
PDF.

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