Product Description
Review
" an ambitious, well-researched book with probably the most comprehensive review of the credit-risk-modelling literature...I eagerly await the next edition" (Quantitative Finance, March 2001)
Michel Crouhy, Risk Management CIBC
The first comprehensive compendium of credit risk models. This book is an absolute must for who needs to understand the modern foundations of credit risk.
Jamil Baz, Co-Head of Fixed Income Research, Lehman Brothers Europe
This is an impressive exposition of credit risk matters. This book should be read by all credit specialists who care to venture beyond the obvious.
Professor Suresh Sundaresan, Chase Manhattan Foundation Professor of Finance, Columbia Business School
This book has assembled the major results on the value of instruments that are subject to credit risk. The coverage is extensive.
Guy Coughlan, Head of European Portfolio Research, JP Morgan
The measurement of credit risk has undergone a revolutionary transformation. The authors have delivered a timely, comprehensive and well-balanced synthesis.
Professor Suresh Sundaresan, Chase Manhattan Foundation Professor of Finance, Columbia Business School
This book has assembled the major results on the value of instruments that are subject to credit risk. The coverage is extensive.
Quantitative Finance, March 2001
" an ambitious, well-researched book with probably the most comprehensive review of the credit-risk-modelling literature...I eagerly await the next edition"
Product Description
Advanced Credit Analysis presents the latest and most advanced modelling techniques in the theory and practice of credit risk pricing and management.
The book stresses the logic of theoretical models from the structural and the reduced-form kind, their applications and extensions. It shows the mathematical models that help determine optimal collateralisation and marking-to-market policies. It looks at modern credit risk management tools and the current structuring techniques available with credit derivatives.
Book Info
A demonstration of advanced methodologies in credit risk analysis. Includes methods suited to today's sophisticated financial instruments, moving credit risk analysis forward with the future of business. DLC: Credit--Management.
From the Publisher
Credit risk has always been a topic of major concern for banks and other financial intermediaries. Traditionally this has been addressed by credit risk departments using actuarial methods based on historical data. However, in recent years the massive growth in financial markets combined with the increasing sophistication of financial instruments has meant that such methods have become inadequate for current needs. The rapid growth of derivative instruments, the majority of which are traded over-the-counter, combined with the creation of credit derivatives, has highlighted the necessity for financial institutions to use more sophisticated methods to value, rather than simply ration their credit risk exposure. In Advanced Credit Risk Analysis two specialists in the analysis of credit risk present the latest and most advanced modelling techniques for credit risk pricing and credit risk management, together with a discussion of their application in practice.
From the Author
We have attempted with this book to provide advanced practitioners and researchers with an analysis of the rich and diverse literature on credit risk. The book does not shy away from advanced topics and is, we believe the first book to cover the advanced literature. We also provide for some results not available elsewhere.
Several readers have attracted our attention to the problem of typos in the current edition. Please receive our apologies for the typos that have evaded our attention in this first edition. Note that we also have corrected several typos from the original papers: This type of work is a continuous process indeed! Comments and suggestions (or other typos we may not have noticed yet) are welcome at didier.cossin@hec.unil.ch or hugues.pirotte@finmetrics.com. Please refer to the first author's web site for a full errata as well as complementary information.
From the Inside Flap
Credit risk has always been a topic of major concern for banks and other financial intermediaries. Traditionally this has been addressed by credit risk departments using actuarial methods based on historical data. However, in recent years the massive growth in financial markets combined with the increasing sophistication of financial instruments has meant that such methods have become inadequate for current needs.
The rapid growth of derivative instruments, the majority of which are traded over-the-counter, combined with the creation of credit derivatives, has highlighted the necessity for financial institutions to use more sophistication methods to value, rather than simply ration their credit risk exposure.
In Advanced Credit Risk Analysis two specialists in the analysis of credit risk present the latest and most advanced modelling techniques for credit risk pricing and credit risk management, together with a discussion of their application in practice.
From the Back Cover
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. The coverage 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
Product Details
Hardcover: 400 pages
Publisher: Wiley; 1 edition (Dec 13 2000)
Language: English
ISBN-10: 0471987239
ISBN-13: 978-0471987239
