Advanced Credit Risk Analysis [Hardcover]

Didier Cossin (Author), Hugues Pirotte (Author)

Book Description

Publication Date: June 9, 2000 | Series: Wiley Series in Financial Engineering (Book 73)

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.

Editorial Reviews

Review

Cossin and Pirotte present an ambitious,well-researched book with probably the most comprehensive review of the credit-risk-modelling literature. -- Dan Rosen, Quantitative Finance, March 2001

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. -- Michel Crouhy, Risk Management CIBC

The measurement of credit risk has undergone a revolutionary transformation. The authors have delivered a timely, comprehensive and well-balanced synthesis. -- Guy Coughlan, Head of European Portfolio Research, JP Morgan

This book has assembled the major results on the value of instruments that are subject to credit risk. The coverage is extensive. -- Professor Suresh Sundaresan, Chase Manhattan Foundation Professor of Finance, Columbia Business School

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. -- Jamil Baz, Co-Head of Fixed Income Research, Lehman Brothers Europe

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.

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Product Details

• Hardcover: 400 pages
• Publisher: Wiley; 1 edition (June 9, 2000)
• Language: English
• ISBN-10: 0471987239
• ISBN-13: 978-0471987239
• Product Dimensions: 9.7 x 6.7 x 0.9 inches
• Shipping Weight: 1.7 pounds (View shipping rates and policies)
• Average Customer Review: 3.2 out of 5 stars  See all reviews (9 customer reviews)
• Amazon Best Sellers Rank: #799,788 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

9 of 9 people found the following review helpful:

1.0 out of 5 stars Revision, please!, February 15, 2001

By A Customer

This review is from: Advanced Credit Risk Analysis (Hardcover)

The book does a good job in presenting some credit risk models, although it is far from being exhaustive. However, if you are looking for technical details, you best bets are still the original published papers, given the numerous typos. My suggestion: wait for the revised edition!

5 of 5 people found the following review helpful:

4.0 out of 5 stars A Very Good Book, with wide coverage, February 12, 2001

By A Customer

This review is from: Advanced Credit Risk Analysis (Hardcover)

This is a very useful book. It covers all the credit risk pricing theories. It is much more complete than anything else on the market today and includes very recent models too. I found the chapters on structural models (the one on financial engineering) and reduced form models particularly helpful. This is difficult matter to understand and the book is quite clear (and stresses the limits of the different models well). Some interesting theoretical extensions are useful too. Some chapters were a bit less good (swap credit risk) and some elements are missing (sovereign risk) but overall it is very good. With the BIS rules coming up, I think this type of book should become required reading. (and it shows the strong limitations of the current models used in practice today). Has no competitor on the market in my mind.

6 of 7 people found the following review helpful:

5.0 out of 5 stars Best Credit Risk Theory Book I've Read, February 5, 2001

By A Customer

This review is from: Advanced Credit Risk Analysis (Hardcover)

Finally a book that covers all credit risk theories! The book is up to date, includes many new results that just came out, and is just the only decent book in the field! It is great to have a book that makes sense and explains all the theories. I found it readable too (despite the level of sophistication). The structure of the book is good. It covers all the basics but also has some advanced stuff in some chapters. It makes understanding and applying the theories much easier than before this book existed (when you had to go back to all these research articles). I like it a lot and would recommend it highly. My only wishes: that the authors provide us with a web site for the typos (I have found some though not that many, and there are some in the original research papers too!)and keep the book up to date with further editions!