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Credit Risk: Models and Management, Second Edition Hardcover – April 1, 2004
Contains 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.
Utilises statistical evidence backed by astute commentary to provide a modern and relevant explanation on all the various elements of credit risk.
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
-Practitioners' Tools to Managing Credit Risk
Indispensable to those who are involved or must deal with credit risk at any level.
- Print length638 pages
- LanguageEnglish
- PublisherRisk Books
- Publication dateApril 1, 2004
- ISBN-101904339212
- ISBN-13978-1904339212
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About the Author
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.
Product details
- Publisher : Risk Books; 2nd edition (April 1, 2004)
- Language : English
- Hardcover : 638 pages
- ISBN-10 : 1904339212
- ISBN-13 : 978-1904339212
- Item Weight : 2.53 pounds
- Best Sellers Rank: #8,317,845 in Books (See Top 100 in Books)
- #114,355 in Economics (Books)
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