Product Description

Building upon the seminal work established in the first best selling edition, this fully revised multi-author reference collection brings you up-to date with a complete and cohesive examination on the latest techniques for credit risk assessment and management.

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.

Product Details

• Amazon Sales Rank: #1818959 in Books
• Published on: 2004-04
• Original language: English
• Binding: Hardcover
• 638 pages

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.

Customer Reviews

30 Years of The Best Papers in Credit
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.