Building upon the work established in the first edition, this fully revised multi-author reference collection brings the reader up-to-date with a complete and cohesive examination on the latest techniques for credit risk assessment and management. Shimko collates and presents practical and timely information on how to use the newest modelling and measurement tools for managing credit risk with specially commissioned chapters, evaluation and comment from leading practitioners and academics actively involved within the industry. The authors utilise statistical evidence backed by astute commentary to provide a modern and relevant explanation on all the various elements of credit risk. The book is subdivided into five main reference sections - each with introductions to illustrate their significance and explain the main points to be discussed: risky bonds in the portfolio and market context; valuation of risky debt; default probabilities, recoveries and credit ratings; structured credit products; and practitioners' tools to managing credit risk.
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Editorial Reviews
Review
"A great resource for current credit risk practitioners seeking the latest thinking on credit risk models and management techniques." -- Richard Apostolik, President, Global Association of Risk Professionals
About the Author
David Shimko is Founder and President of Risk Capital Management Partners LLC, and is Senior Lecturer in finance at the Harvard Business School. He consults extensively with senior executives globally in the area of risk-based corporate finance, strategic risk management, credit risk management, risk policy and implementation. He also serves on the Board of Trustees of the Global Association of Risk Professionals and is active in the association. Before founding RCM, David worked with Bankers Trust as Principal and Head of the Risk Management Advisory Group. Prior to Bankers Trust, he was Vice President and Head of Risk Management Research at J.P. Morgan Securities. He also managed Commodity Derivatives Research on J.P. Morgan's trading desk. David was Assistant Professor of Finance at the University of Southern California. He has published over 50 academic and trade articles on strategic issues and the practice of risk management, including the first edition of this text. He has written a technical textbook at the PhD level entitled Finance in Continuous Time: A Primer. He was the end-user columnist in Risk Magazine for 4 years. David completed his PhD in Managerial Economics/Finance from Northwestern University in 1988, and his BA in Economics from Northwestern in 1982.
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2 of 3 people found the following review helpful:
5.0 out of 5 stars
30 Years of The Best Papers in Credit,
By A Customer
This review is from: Credit Risk: Models and Management, Second Edition (Hardcover)
This excellent update to Shimko's first edited piece is superb in both breadth and quality.
Yes - some of the papers have appeared in journals or books before but never have all of these papers spanning the last and most critical 30 years in credit risk management. From Merton and Jarrow/Turnbull to more recent practitioners perspectives on credit risk from both the buy- and sell-sides of the business, this book provides a comprehensive reference piece. This is a must have reference book for any serious credit quant and essential reading for anyone interested in getting up the curve. A great effort edited by David Shimko and interesting to see Barra sponsoring this publication - they seem to be doing more and more in credit these days.
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Inside This Book
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First Sentence:
When Credit Risk: Models and Management was first published in 1999, we asserted that the "new school" of credit risk managers was beginning to win the battle against the "old-school" qualitative five "Cs" school of credit. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
stochastic intensity model, credit asset managers, spot interest rate process, involving credit risk, first passage model, uninformative model, default dependence, foreign currency analogy, underlying reference pool, uninformative line, credit sensitive securities, vulnerable options, cumulative default probabilities, default volatilities, senior unsecured, joint default probabilities, default volatility, copula model, asset swap spread, default swap spread, defaulting issues, traditional structural models, logit score, model performance measures, historical default data Key Phrases - Capitalized Phrases (CAPs): (learn more)
Journal of Finance, New York, Cornell University, Journal of Financial Economics, Basel Committee, Banking Supervision, First Interstate, Montana Power, Monte Carlo, Review of Financial Studies, Risk Publications, Stanford University, Air Canada, Fleming Cos, Journal of Accounting Research, Moody's Investors Service, Petroleum Geo-Services, Salomon Center, Financial Analysts Journal, Graduate School of Business, Building Comfort, General Manufacturing, Mathematical Finance, Mean Std, Mirant Americas Generating New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
When Credit Risk: Models and Management was first published in 1999, we asserted that the "new school" of credit risk managers was beginning to win the battle against the "old-school" qualitative five "Cs" school of credit. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
stochastic intensity model, credit asset managers, spot interest rate process, involving credit risk, first passage model, uninformative model, default dependence, foreign currency analogy, underlying reference pool, uninformative line, credit sensitive securities, vulnerable options, cumulative default probabilities, default volatilities, senior unsecured, joint default probabilities, default volatility, copula model, asset swap spread, default swap spread, defaulting issues, traditional structural models, logit score, model performance measures, historical default data Key Phrases - Capitalized Phrases (CAPs): (learn more)
Journal of Finance, New York, Cornell University, Journal of Financial Economics, Basel Committee, Banking Supervision, First Interstate, Montana Power, Monte Carlo, Review of Financial Studies, Risk Publications, Stanford University, Air Canada, Fleming Cos, Journal of Accounting Research, Moody's Investors Service, Petroleum Geo-Services, Salomon Center, Financial Analysts Journal, Graduate School of Business, Building Comfort, General Manufacturing, Mathematical Finance, Mean Std, Mirant Americas Generating New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 35
books:
See all 35 books this book cites
- Derivative Securities by Robert Jarrow on page 173, and page 373
- Risk Management by Dearborn Financial Services in Front Matter (1), and Front Matter (2)
- Option Pricing (The Irwin series in finance) by Robert A. Jarrow on page 173, and page 373
- An Introduction to Copulas (Springer Series in Statistics) by Roger B. Nelsen on page 473, and page 518
- Financial Management by Robert W. Johnson on page 374
See all 35 books this book cites
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