An Introduction to Credit Risk Modeling

Description

This is an outstanding book on the default models that are used internally by financial institutions. This practical book delves into the mathematics, the assumptions and the approximations that practitioners apply to make these models work.
- Glyn A Holton of ‘Contingency Analysis’
There are so many financial tools available today and numbers are likely to grow in the future. If you work in this field of credit risk modelling it is worth looking at the theoretical background, and this book is a well-rounded introduction.
Journal of the Operational Research Society
As an introductory survey it does an admirable job. …this book is an important guide into the field of credit risk models. Mainly for the practitioner and less for the academician. …It is well written, fairly easy to follow.
-Horst Behncke, Zentralblatt Math

Book Description

This book is designed to help novices in financial risk management get quick access to the world of credit risk. It is also helpful to risk managers looking for a more quantitative approach to credit risk. Mathematical rigor is maintained throughout, but mathematical proofs are given only where necessary for understanding the underlying idea. The first six chapters provide a solid introduction to credit risk modelling with a comprehensive treatment of theory, models, and products. The second part of the book includes applications to credit portfolio securitization, credit risk in a trading portfolio, and credit derivatives risk.

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