Product Description

This volume illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results. It focuses on new products and their applications in the financial services industry and addresses the growing market of credit derivatives. The expert contributors examine issues specific to certain geographic areas, such as Latin America, Argentina, and the United States, and discuss recent cases of corporate bankruptcy, including Tyco, Worldcom, Enron, and Parmalat. The book also covers default and recovery risks, credit ratings, and applications within the Basel II framework.

Product Details

• Amazon Sales Rank: #993626 in Books
• Published on: 2008-05-28
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 600 pages

Review
Credit Risk: Models, Derivatives, and Management is the most comprehensive available volume of authoritative readings on credit risk modeling. Niklas Wagner has given us a package of 26 chapters by well-recognized authors, treating all major aspects of the subject, from the behavior of default probabilities, recovery, and correlation to the pricing of a wide range of single-name and multi-name credit products. Every practitioner covering the topic will appreciate access to this collection.
—Darrell Duffie, Dean Witter Distinguished Professor of Finance, The Graduate School of Business, Stanford University, California, USA

Customer Reviews

how adequate was the modelling ?
The maths behind credit risk management is quite sophisticated, as made clear in this handbook. The various authors of the chapters delve into the intricacies of how different financial instruments were cobbled together. Along with elaborate models of the risk of default. From such models, you can see how pricing was then derived for tranches of the synthetics.

Yet perhaps the models were not sufficiently diverse, and did not incorporate what actually happened and is happening in the US and other countries. The models keyed off historical data of default rates for mortgages. None used the assumption of a widespread fall in housing prices across the US, as no such event had occurred since the Depression. Well, this has happened and is not over yet. Default rates are still rising. And the derivatives, by their very structure, amplified these declines.

Read the book cynically. Look closely at the modelling.

EXCELLENT CREDIT RISK BOOK
"The present credit crisis shows that credit risk modeling is a complex as well as serious task. Good to know that several excellent surveys of the topic exist including this one. A must for academics and money managers as well many excellent new articles in the area of credit risk"
Greg N. Gregoriou, PhD
Professor of Finance
State University of New York (Plattsburgh)