Internal Credit Risk Models: Capital Allocation and Performance Measurement [Hardcover]

MICHAEL, K ONG (Author)

Book Description

ISBN-10: 1899332030 | ISBN-13: 978-1899332038 | Publication Date: January 5, 1999

This work provides a practical, accessible step-by-step analysis of the theory and practicalities of credit risk measurement and management. Topics covered include: default probabilities; expected and unexpected losses; time effects; default correlations; and loss distributions.

Editorial Reviews

Review

An excellent book... practical rigorous, well- written and easy to understand. -- Angelo Arvanitis, Egnatia Bank

The book will become an essential guide to measuring credit risk. -- Thomas Donahoe, Director, Metropolitan Life Insurance Company

About the Author

Dr. Michael K. Ong is an Executive Vice President and Chief Risk Officer for the Americas for Credit Agricole Indosuez in New York. He has enterprise-wide responsibility for all risk management functions for the Carr Futures Group globally and CAI's North American entities. He is a member of the Executive Committee and additionally, he is a member of the board for Carr Global Advisors. Before joining Credit Agricole Indosuez Michael was the senior vice president and head of enterprise risk for ABN Amro Bank. There he was responsible for the management of information and decision support function for the executive committee on enterprise-wide market, operational, credit and liquidity risk, as well as RAROC and ROE models. Prior to this Michael headed the corporate research unit at First Chicago NBD Corporation, where he was chair of the global risk management research council and head of the market risk analysis unit. He was previously also responsible for quantitative research at Chicago Research and Trading Group (now Nations Banc-CRT) and has served as an assistant professor of mathematics at Bowdoin College. Michael is also an adjunct professor at the Stuart School of Business of the Illinois Institute of Technology. He received a BS degree in physics, cum laude, from the University of the Philippines and degrees of MA in physics and MS and PhD in applied mathematics from the State University of New York at Stony Brook. Michael is a member of the editorial boards of the Journal of Financial Regulation and Compliance and the Journal of Risk.

Product Details

• Hardcover: 372 pages
• Publisher: Risk Publications (January 5, 1999)
• Language: English
• ISBN-10: 1899332030
• ISBN-13: 978-1899332038
• Product Dimensions: 9.3 x 6.1 x 1.2 inches
• Shipping Weight: 1.9 pounds (View shipping rates and policies)
• Average Customer Review: 5.0 out of 5 stars  See all reviews (3 customer reviews)
• Amazon Best Sellers Rank: #1,128,211 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

20 of 20 people found the following review helpful:

5.0 out of 5 stars Internal Credit Risk Models, September 26, 2000

By A Customer

This review is from: Internal Credit Risk Models: Capital Allocation and Performance Measurement (Hardcover)

This book is the most comprehensive literature I have seen for credit risk modeling. It covers from the basic BIS regulatory capital framework to the state-of-the-art credit risk models. Numerous worked examples demonstrate the calculation for different risk weighted capitals with or without netting clearly. Well-known credit models such as KMV, CreditMetric and CreditRisk+ are rigorously explained. Advanced issues like default correlation, joint credit migration and loss tail events are also addressed appropriately. With the general framework, economic capital and risk adjusted performance measurement can be quantified. This book is full of concise but descriptive flow charts and diagrams for implementation purpose. I strongly recommend this book to those who want to understand and implement an internal credit model for capital regulatory and allocation purpose.

8 of 10 people found the following review helpful:

5.0 out of 5 stars A Clear approach to a complex subject, September 20, 2000

By 

Luis Fernando Bicca Marques (Porto Alegre, RS Brazil) - See all my reviews

This review is from: Internal Credit Risk Models: Capital Allocation and Performance Measurement (Hardcover)

It provides a coherent framework for thinking about and modeling bank credit risk. It describes how to model default probabilities, expected and unexpected losses, time effects, default correlation, loss distribution and RAROC measures. The writer is a practioner and makes simple and important observations about the important issues. The text is clear and mathematics is used as example, not as explanation.

3 of 3 people found the following review helpful:

5.0 out of 5 stars A great credit risk modelling book!, January 20, 2003

By A Customer

Amazon Verified Purchase

This review is from: Internal Credit Risk Models: Capital Allocation and Performance Measurement (Hardcover)

Detailed, but not overly mathematic.

Good coverage of all the main points required of any good credit risk measurement, management, and reporting system. Would recommend this book to anyone who might be using KMV's Portfolio Manager product, or for someone who's creating/programming a new credit risk management/reporting system and needs a good framework from which to copy from.