Credit Treasury A Credit Pricing Guide in Liquid and Non-Liquid Markets

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.

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.

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