Advanced Credit Risk Analysis: Financial Methods and Mathematical Models for Assessing, Pricing, and Managing Credit Risk

Author: Cosen et al./Yin Jianfeng et al.
Publisher:
Publish Date: 2005-06-01
Features: This is a comprehensive and detailed exposition of credit risk models. For students and risk management practitioners who wish to understand the fundamentals of modern credit risk management, this book is absolutely essential. —Michelle Cruchet, CIBC Risk Management Department
In the field of credit risk research, the discussion in this book is impressive. Almost every aspect is covered: structural models, simplified models, credit risk of derivatives, and empirical results are all analyzed in detail and depth. For credit risk experts who wish to go beyond the surface, this book should be carefully studied. —Yahmir Bazler, Head of Fixed Income Research, Lehman Brothers
Over the past few years, there has been a revolutionary change in the measurement and management methods of credit risk. The development of advanced credit risk pricing and management models, as well as the rise of complex credit derivatives markets, have required banks and investors to reconsider their previous methods. In terms of the concepts and methods of modern credit risk management, Didier Cosen and Yves Piroto provide a comprehensive and integrated analysis for us. —Guy Kugan, Head of European Portfolio Research, J.P. Morgan
This book provides a comprehensive synthesis of valuation results for various financial instruments affected by credit risk. Its scope is very broad. Therefore, for the industry and graduate students aspiring to enter this field, this book can serve as a useful textbook. —Suresh M. Sundarajan, Professor, Columbia Business School
Credit risk has always been a major topic of concern for banks and other financial institutions. The traditional method of handling credit risk involves statistical estimation by the credit risk department based on past data. However, in the recent years, with the rapid development of financial markets and the increasing complexity of financial instruments, this method has become inadequate. In Advanced Credit Risk Analysis, the two experts present a wealth of new advanced modeling techniques for credit risk pricing and management, as well as various applications they have carried out in practice. From the content of the entire book, its target readers should be graduate students in finance and senior risk management personnel in financial institutions.