| Autor: |
Nenad Marinovich, Stevan Maglic |
| Rok vydání: |
2006 |
| Předmět: |
|
| DOI: |
10.1016/b978-012088438-4.50012-5 |
| Popis: |
Publisher Summary This chapter outlines a methodology of determining the expected loss given default and the implied transaction credit ratings of loans to obligors that post assets as collateral. Specifically, a quantitative model is outlined that takes into account the correlation between an obligor and the collateral that it posts to the lender. Furthermore, an implied transaction rating is determined from the calculation that serves as a natural calibration step when compared to the actual transaction ratings determined by credit analysts using more traditional qualitative rating approaches. The model introduces a quantitative element of rigor to help guide the credit rating process. The process establishes a level of standardization that ensures a consistent rating methodology across different transactions and credit analysts. The market and the credit risk metrics are obtained from the same model. The overall use of the model is intended to augment the subjective decisions involved in managing this type of business. In some cases, use of the model induces analysts to revisit their credit assessment. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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