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 on credit risk analysis. The book seamlessly combines data and theory, with just the right mathematical models. It 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, present in every aspect of social activity at almost every moment, and an unavoidable challenge for all market economy participants. Credit risk management plays a crucial role in maintaining the stability of commercial banks and even national financial systems. After joining the WTO, China's banking sector will face significant shocks, and credit risk management will be its primary task. It is essential to introduce advanced foreign theories, methods, and models of credit management to China for the measurement and management of credit risk.
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, working in risk management for many years and accumulating vast amounts of data and rich experience. From multiple perspectives—microeconomics, monetary banking, finance, and risk management—the authors analyze the origins of financial risk, introduce the cutting-edge 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 an essential reference for researchers in the field. It also holds significant value for practitioners and students and faculty in higher education.