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Credit Treasury G. Oricchio

Credit Treasury By G. Oricchio

Credit Treasury by G. Oricchio


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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.

Credit Treasury Summary

Credit Treasury: A Credit Pricing Guide in Liquid and Non-Liquid Markets by G. Oricchio

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.

About G. Oricchio

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.

Table of 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

Additional information

NLS9781349327034
9781349327034
1349327034
Credit Treasury: A Credit Pricing Guide in Liquid and Non-Liquid Markets by G. Oricchio
New
Paperback
Palgrave Macmillan
2011-01-01
365
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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