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

ISBN-13: 9781349327034 / Angielski / Miękka / 2011 / 365 str.

Gianluca Oricchio

Opis

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.

Spis treści

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

O autorze

GIANLUCA ORICCHIO has held senior capital and risk management positions at several 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.