An Introduction to Credit Risk Modeling
Editorial Reviews
Review
This is an outstanding book on the default models that are used internally by financial institutions. This practical book delves into the mathematics, the assumptions and the approximations that practitioners apply to make these models work." - Glyn A Holton of 'Contingency Analysis'
Book Description
This book is designed to help novices in financial risk management get quick access to the world of credit risk. It is also helpful to risk managers looking for a more quantitative approach to credit risk. Mathematical rigor is maintained throughout, but mathematical proofs are given only where necessary for understanding the underlying idea. The first six chapters provide a solid introduction to credit risk modelling with a comprehensive treatment of theory, models, and products. The second part of the book includes applications to credit portfolio securitization, credit risk in a trading portfolio, and credit derivatives risk.
An Introduction to Credit Risk Modeling
An Introduction to Credit Risk Modeling,Christian Bluhm,Ludger Overbeck,Christoph Wagner,Chapman & Hall/CRC,158488326X,Accounting - General,Business / Economics / Finance,Credit,General,Management,Marketing - General,Mathematical models,Mathematics,Probability & Statistics - General,Risk management,Science/Mathematics,Applied mathematics,Credit & credit institutions,Mathematics / General
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