Credit Risk: Measurement and Management

Author: (American) Servigny
Publisher:
Publish Date: 2005-07-01
Features: · Quantitative analysis methods for default risk · Data analysis and modeling of loss distributions · Unique strategies for bank capital allocation and securitization “deServigny and enault have written a valuable reference book for credit risk analysis, seamlessly combining data and theory, with just the right mathematical models. The book artfully integrates economics, pricing, structuring, and capital allocation.” — Jamil Baz, Director of the Global Fixed Income Research Institute, ABN AMRO Credit risk is one of the oldest financial risks, appearing almost every moment in all social activities, and no participant in the market economy can escape it. Credit risk management plays a very important role in maintaining the stability of commercial banks and even the national financial system. After joining the WTO, China's banking industry will face huge shocks, and credit risk management will be its foremost task. It is essential to introduce advanced foreign theories, methods, and models of credit management to carry out the measurement and management of credit risk in China. The authors have long served in the Quantitative Analysis and Product Services Department of one of the most influential risk management companies in the world, Standard & Poor's, engaged in risk management for many years, accumulating a wealth of data and experience. From multiple perspectives such as microeconomics, monetary banking, finance, and risk management, the authors analyze the emergence of financial risk, introduce the frontier theories and methods for current credit risk measurement and management, and look ahead to future research hotspots and priorities. This book perfectly combines the theories and methods of credit risk measurement and management, serving as a reference book for researchers in credit risk management. It also holds high reference value for practitioners and students and teachers in higher education institutions.