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An Introduction to Credit Risk Modeling (Chapman & Hall/Crc Financial Mathematics Series)
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Binding: Hardcover
Dewey Decimal Number: 658.880151
EAN: 9781584883265
Edition: 1
ISBN: 158488326X
Label: Chapman & Hall/CRC
Manufacturer: Chapman & Hall/CRC
Number Of Items: 1
Number Of Pages: 297
Publication Date: September 27, 2002
Publisher: Chapman & Hall/CRC
Studio: Chapman & Hall/CRC
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Editorial Review:
In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques. An Introduction to Credit Risk Modeling supplies both the bricks and the mortar of risk management. In a gentle and concise lecture-note style, it introduces the fundamentals of credit risk management, provides a broad treatment of the related modeling theory and methods, and explores their application to credit portfolio securitization, credit risk in a trading portfolio, and credit derivatives risk. The presentation is thorough but refreshingly accessible, foregoing unnecessary technical details yet remaining mathematically precise. Whether you are a risk manager looking for a more quantitative approach to credit risk or you are planning a move from the academic arena to a career in professional credit risk management, An Introduction to Credit Risk Modeling is the book you've been looking for. It will bring you quickly up to speed with information needed to resolve the questions and quandaries encountered in practice.
Customer Reviews
Average Rating: 
Rating:  - Excellent introduction
Not only because of the Basel II Accords but also because of the enormous impact of credit derivatives, collateralized debt obligations, and other forms of credit risk management, the modeling of credit risk has become a multi-million dollar industry. The current credit crisis has certainly pointed to the need for more powerful credit risk modeling, to a degree where most of the concepts used to this date must be discarded or at least radically revised. The challenge will be to find algorithms and ... Read More
Rating:  - read this before going for it
Well first off I would like to tell anyone who doesn't have a solid working knowledge of calculus (including multivariate) to avoid this book as it requires multiple integrals and infinite series and sequences. Now onto the good and the bad:
THE GOOD:
This text explains concepts very well and is FULL of examples. I mean literally 3/4 of the book, maybe more, is examples. Every chapter also has a section of problems that have partial solutions, which can come in very handy. ... Read More
Rating: - a very good book
The authors wanted to write the book that they themselves would have liked to read before starting a profession in risk management. I am working for a treasury consultancy firm. This book was the best of the five I bought. The text is very clear yet does not assume too much prior knowledge. It covers theory as well as industry practice. The book contains much advanced statistics and readers must have some background in order to handle this. The authors keep it simple but not too simple. Their approach ... Read More
Rating: - good combination of math and finance
As indicated on the back of the book, the authors are aiming at audience who have some knowledge in both math and finance but may be weak in one and strong in another. Either way, this is a good book to read on credit risk.
Rating: - Clear and comprehensive
This book clearly articulates basic concepts of credit risk modeling. At the same time it is mathematically rigorous. This book enables non mathematician with some (basic) knowledge in probability statistic to better understand and develop his risk management skills.
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