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Advanced Credit Risk Analysis Hardcover – June 9, 2000
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"an ambitious, well-researched book with probably the most comprehensive review of the credit-risk-modelling literature...I eagerly await the next edition"
(Quantitative Finance, March 2001)
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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Top Customer Reviews
In reality, too many mistakes in numerical examples and formulas. All these errors, typos, etc., make this book out of reach for those who want to use the formulas but have no idea on how to correct them. I suggest the authors urgently create a Web site for all these errors.