| Advanced Credit Risk Analysis: Financial Approaches and Mathematical Models to Assess, Price, and Manage Credit Risk Contributor(s): Cossin, Didier (Author), Pirotte, Hugues (Author) |
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ISBN: 0471987239 ISBN-13: 9780471987239 Publisher: Wiley OUR PRICE: $180.50 Product Type: Hardcover - Other Formats Published: December 2000 Annotation: The assessment and effective management of credit risk is fundamental to the success of any financial institution. However, the increasing sophistication of financial instruments, many of which are over-the-counter products, has demonstrated that traditional methods of evaluation of risk are no longer adequate. Even "common practice" now requires advanced methodologies. .,."The first comprehensive and detailed compendium of credit risk models. This book is an absolute must for all the students and risk professionals who need to understand the modern foundations of credit risk management." Michel Crouhy, Risk Management, CIBC "This is an impressive exposition of credit risk matters. Every angle is investigated: structural models, reduced-form models, credit risk of derivatives, and empirical results are all explained with verve and rigor. This book should be read by all credit specialists who care to venture beyond the obvious." Jamil Baz, Co-Head of Fixed Income Research, Lehman Brothers, Europe "The measurement and management of credit risk has undergone a revolutionary transformation over the past few years. Advances in credit pricing and risk management models, together with the development of a sophisticated market for credit derivatives, have forced banks and investors alike to re-evaluate their entire approach to credit risk. Didier Cossin and Hugues Pirotte have delivered a timely, comprehensive and well-balanced synthesis of the concepts and models underpinning modern credit management." Guy Coughlan, Head of European Portfolio Research, J.P. Morgan "This book has assembled the major results on the value of instruments that are subject to credit risk. Thecoverage is extensive. Therefore it should prove to be a useful text for both practitioners and graduate students who wish to work in this area." Professor Suresh M. Sundaresan, Chase Manhattan Bank Foundation Professor, Columbia Business School |
| Additional Information |
| BISAC Categories: - Business & Economics | Finance - General - Business & Economics | Accounting - General |
| Dewey: 332.7 |
| LCCN: 99057861 |
| Series: Wiley Financial Engineering |
| Physical Information: 0.88" H x 6.69" W x 9.61" (1.74 lbs) 400 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: Bewertung und effektives Kreditrisikomanagement sind ma gebend für den Erfolg jeder Finanzinstitution. Üblicherweise war dies Aufgabe der Kreditrisikoabteilungen, die versicherungsmathematische Methoden auf der Basis historischer Daten benutzten. Durch das massive Wachstum an den Finanzmärkten, zusammen mit der zunehmenden Weiterentwicklung und Verfeinerung der Finanzinstrumente in den letzten Jahren sind diese Methoden für aktuelle Bedürfnisse nicht mehr geeignet. Die Zunahme derivativer Instrumente, von denen die meisten im Freiverkehr gehandelt werden, und die Schaffung von Kreditderivaten hat deutlich gemacht, da Finanzinstitutionen auf verfeinerte Methoden zur Bewertung des Kreditrisikos zurückgreifen müssen. Advanced Credit Risk Analysis präsentiert aktuelle, weiterentwickelte Modellverfahren zur Konditionengestaltung und zum Kreditrisikomanagement und diskutiert die Anwendung dieser Techniken in der Praxis. |