Rating Based Modeling of Credit Risk

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Credit risk is one of the most studied topics in quantitative finance. This book provides an introduction and overview on rating based modeling of credit risk focusing on the theory and application of credit migration matrices. It provides an up-to-date reference to the central problems of the field. Rating Based Modeling of Credit Risk by Trueck and Rachev focuses on the applications of transition matrices including rating-based modeling, estimation techniques, Value-at-Risk simulation, adjustment and forecasting migration matrices, corporate-yield curve dynamics, dependent defaults and migrations, credit derivatives and collateralized debt obligations. Their contribution of more sophisticated techniques to measure and forecast changes in migration behavior as well as determining adequate estimators for transition matrices is a major contribution to rating based credit modeling.