Table of contents:
The Basics of Credit Risk Management. Modelling Correlated Defaults. Asset Value Models. The CreditRisk+ Model. Alternative Risk Measures and Capital Allocation. Term Structure of Default Probability. Credit Derivatives. Collateralized Debt Obligations. References.
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.
The Basics of Credit Risk Management. Modelling Correlated Defaults. Asset Value Models. The CreditRisk+ Model. Alternative Risk Measures and Capital Allocation. Term Structure of Default Probability. Credit Derivatives. Collateralized Debt Obligations. References.
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.