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CREDIT RATINGS. METHODOLOGIES, RATIONALE AND DEFAULT RISKONG Mwydawnictwo: RISK BOOKS , rok wydania 2002, wydanie Icena netto: RATING CREDITS Introduction - Michael K. Ong The A to Z of Standard and Poor's Ratings - Christian M. Dinwoodie of Standard & Poor's Historical Corporate Rating Migration, Default and Recovery Rates - David T. Hamilton of Moody's Investors Service / Cyclical Effects in Credit Risk Ratings and Default Risk - Linda Alien of the Zicklin School of Business, Baruch College, City University of New York and Anthony Saunders of the Stern School of Business, New York University RATING AGENCIES Introduction - Michael K. OngAn Analysis of the Credit Rating Industry - Lawrence J. White of the Stern School of Business, New'York University The Meaning of Agency Ratings: A Behavioural Model of Rating Assignment - Sean C. Keenan and Jorge R. Sobehart of Citigroup Risk Architecture Hybrid Contingent Claims Models: A Practical Approach to Modelling Default Risk - Jorge R. Sobehart and Sean C. Keenan of Citigroup Risk Architecture CREDIT SCORING TECHNIQUES Introduction - Michael K. Ong Revisiting Credit Scoring Models in a Basel II Environment - Edward I. Altman of the Stern School of Business, New York University Credit Scoring for Corporate Debt - Eric Falkenstein of Deephaven Capital Management Scoring and Validating Techniques for Credit Risk Rating Systems - Sebastian G. Fritz, Lars Popken and Christian Wagner of Credit Risk Management, Risk Analytics and Instruments, Deutsche Bank AG Replicating Agency Ratings through Multinomial Scoring Models - Andrea Resti of Bergamo University Capital Ratios and Credit Ratings as Predictors of Bank Failures - Arturo Estrella and Stavros Peristiani of Federal Reserve Bank of New York and Sangkyun Park of Office of Management and Budget REGULATORY ISSUES ON CREDIT RATINGS Introduction - Michael K. Ong Regulatory Use of Credit Ratings: Implications for Banks, Supervisors and Markets - Barbara C. Matthews of the Institute of International Finance Regulatory Capital Based on Bank Internal Ratings of Credit Risk - Jeffrey A. Brown of Risk Analysis Division, Office of the Comptroller of the Currency Supervisory and Regulatory Concerns Regarding Bank Internal Rating Systems - Jose A. Lopez of the Federal Reserve Bank of San Francisco and Marc R. Saidenberg of the Federal Reserve Bank of New York Regulatory Issues on Credit Ratings - David M. Rowe, Dean Jovic and Marcel Beutler of SunGard Trading and Risk Systems INTERNAL RATING SYSTEMS OF BANKS Introduction - Michael K. Ong Credit Culture - Martin J. Strischek of SunTrust Bank Inc Internal Risk Rating Systems - Michel Crouhy of Canadian Imperial Bank of Commerce, Dan Galai of The Hebrew University and Sigma P.C.M. and Robert M. Mark of Black Diamond Risk Enterprises The New Capital Accord and Internal Bank Ratings - Donald R. van Deventer and Jaqueline Outram of the Kamakura Corporation Designing and Implementing Effective Credit Rating Systems - Thomas Garside and Jonathan Greenman of Oliver, Wyman & Company Preparing for the Internal Ratings-Based Approach - Andrea Szczesny and Ralf Ewert of the Johann Wolfgang Goethe University, Frankfurt Some Evidence on the Consistency of Banks' Internal Credit Ratings - Mark Carey of the Federal Reserve Board CREDIT RATINGS OF ASSET SECURITISATIONS Introduction - Michael K. Ong Measuring Portfolio Credit Risk with Default Experience Statistic (DES) - Arthur M. Berd of Lehman Brothers Expected Loss and Probability of Default Approaches to Rating Collateralised Debt Obligations and the Scope for "Ratings Shopping" - Vladislav M. Peretyatkin of Birkbeck University of London and William Perraudin of Birkbeck University of London, Bank of England and CEPR Ratings Based on Credit Portfolio Models - Ludger Overbeck and Hans Letter of Deutsche Bank AG Index 534 pages
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