Credit Markets: Retrospect and Prospect

David M. Rowe

Chapter 1 in Global Credit Review:Volume 2, 2012, pp 1-10 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:INTRODUCTIONRETROSPECTThe Transformation of Credit Risk ManagementThe Altman Z-ScoresBeyond a Purely Micro FocusUpheavals Strain the Traditional Bank Business ModelThe Actuarial ApproachCredit Migration ApproachThe Merton ModelBeyond the Merton ModelPROSPECTStructured Securities: The Failure of Top-Down PricingStructured Securities: The Transition to Bottom-Up PricingMarket-Driven TransparencyPortfolio Dynamics: From Simple Correlations to Structural AnalysisBehavioral Obstacles and the Danger of Two CulturesCONCLUSIONNOTESREFERENCES

Keywords: Credit Ratings; Credit Risk; Credit Markets; Financial Regulation; Financial Markets; European Sovereign Crisis (search for similar items in EconPapers)
Date: 2012
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