Credit Risk Modelling

Credit Risk Modelling

Addressing this challenge, this book provides a comprehensive and attainable mathematical and statistical discussion of a broad range of existing default-risk models. Model description and derivation, however, is only part of the story.

Author: David Jamieson Bolder

Publisher: Springer

ISBN: 9783319946887

Category: Business & Economics

Page: 684

View: 259

The risk of counterparty default in banking, insurance, institutional, and pension-fund portfolios is an area of ongoing and increasing importance for finance practitioners. It is, unfortunately, a topic with a high degree of technical complexity. Addressing this challenge, this book provides a comprehensive and attainable mathematical and statistical discussion of a broad range of existing default-risk models. Model description and derivation, however, is only part of the story. Through use of exhaustive practical examples and extensive code illustrations in the Python programming language, this work also explicitly shows the reader how these models are implemented. Bringing these complex approaches to life by combining the technical details with actual real-life Python code reduces the burden of model complexity and enhances accessibility to this decidedly specialized field of study. The entire work is also liberally supplemented with model-diagnostic, calibration, and parameter-estimation techniques to assist the quantitative analyst in day-to-day implementation as well as in mitigating model risk. Written by an active and experienced practitioner, it is an invaluable learning resource and reference text for financial-risk practitioners and an excellent source for advanced undergraduate and graduate students seeking to acquire knowledge of the key elements of this discipline.
Categories: Business & Economics

Credit Risk Modeling using Excel and VBA

Credit Risk Modeling using Excel and VBA

Credit risk modeling using Excel and VBA Second Edition Gunter Löffler and Peter N. Posch This book provides practitioners and students with a hands-on introduction to modern credit risk modeling.

Author: Gunter Löeffler

Publisher: John Wiley & Sons

ISBN: 9780470660928

Category: Business & Economics

Page: 358

View: 803

It is common to blame the inadequacy of credit risk models for the fact that the financial crisis has caught many market participants by surprise. On closer inspection, though, it often appears that market participants failed to understand or to use the models correctly. The recent events therefore do not invalidate traditional credit risk modeling as described in the first edition of the book. A second edition is timely, however, because the first dealt relatively briefly with instruments featuring prominently in the crisis (CDSs and CDOs). In addition to expanding the coverage of these instruments, the book will focus on modeling aspects which were of particular relevance in the financial crisis (e.g. estimation error) and demonstrate the usefulness of credit risk modelling through case studies. This book provides practitioners and students with an intuitive, hands-on introduction to modern credit risk modelling. Every chapter starts with an explanation of the methodology and then the authors take the reader step by step through the implementation of the methods in Excel and VBA. They focus specifically on risk management issues and cover default probability estimation (scoring, structural models, and transition matrices), correlation and portfolio analysis, validation, as well as credit default swaps and structured finance. The book has an accompanying website, http://loeffler-posch.com/, which has been specially updated for this Second Edition and contains slides and exercises for lecturers.
Categories: Business & Economics

An Introduction to Credit Risk Modeling

An Introduction to Credit Risk Modeling

Whether you are a risk manager looking for a more quantitative approach to credit risk or you are planning a move from the academic arena to a career in professional credit risk management, An Introduction to Credit Risk Modeling is the ...

Author: Christian Bluhm

Publisher: CRC Press

ISBN: 1420057367

Category: Mathematics

Page: 297

View: 184

In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques. An Introduction to Credit Risk Modeling supplies both the bricks and the mortar of risk management. In a gentle and concise lecture-note style, it introduces the fundamentals of credit risk management, provides a broad treatment of the related modeling theory and methods, and explores their application to credit portfolio securitization, credit risk in a trading portfolio, and credit derivatives risk. The presentation is thorough but refreshingly accessible, foregoing unnecessary technical details yet remaining mathematically precise. Whether you are a risk manager looking for a more quantitative approach to credit risk or you are planning a move from the academic arena to a career in professional credit risk management, An Introduction to Credit Risk Modeling is the book you've been looking for. It will bring you quickly up to speed with information needed to resolve the questions and quandaries encountered in practice.
Categories: Mathematics

Introduction to Credit Risk Modeling Second Edition

Introduction to Credit Risk Modeling  Second Edition

Contains Nearly 100 Pages of New MaterialThe recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations.

Author: Christian Bluhm

Publisher: CRC Press

ISBN: 9781584889939

Category: Mathematics

Page: 384

View: 503

Contains Nearly 100 Pages of New Material The recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model credit portfolios, Introduction to Credit Risk Modeling, Second Edition presents updates on model developments that have occurred since the publication of the best-selling first edition. New to the Second Edition An expanded section on techniques for the generation of loss distributions Introductory sections on new topics, such as spectral risk measures, an axiomatic approach to capital allocation, and nonhomogeneous Markov chains Updated sections on the probability of default, exposure-at-default, loss-given-default, and regulatory capital A new section on multi-period models Recent developments in structured credit The financial crisis illustrated the importance of effectively communicating model outcomes and ensuring that the variation in results is clearly understood by decision makers. The crisis also showed that more modeling and more analysis are superior to only one model. This accessible, self-contained book recommends using a variety of models to shed light on different aspects of the true nature of a credit risk problem, thereby allowing the problem to be viewed from different angles.
Categories: Mathematics

Credit Risk Modelling

Credit Risk Modelling

A unique volume that brings together the most innovative and instrumental papers on credit risk modelling to reflect the major developments to date. This volume also focuses on the influences that are currently shaping the industry.

Author: Michael B. Gordy

Publisher:

ISBN: UVA:X004766859

Category: Credit

Page: 278

View: 215

A unique volume that brings together the most innovative and instrumental papers on credit risk modelling to reflect the major developments to date. This volume also focuses on the influences that are currently shaping the industry.
Categories: Credit

Credit Risk Modelling

Credit Risk Modelling

Credit Risk Modelling gives you a framework to understand how credit risk is measured, priced and managed.

Author: Terry Benzschawel

Publisher:

ISBN: 1906348588

Category: Credit

Page: 502

View: 916

Credit Risk Modelling gives you a framework to understand how credit risk is measured, priced and managed
Categories: Credit

Credit Risk Modeling

Credit Risk Modeling

Covers: Implementing an application scoring system Behavior modeling to manage your portfolio Incorporating economic factors Statistical techniques for choosing the optimal credit risk model How to set cutoffs and ...

Author: Elizabeth Mays

Publisher: Global Professional Publishi

ISBN: 1888998385

Category: Business & Economics

Page: 257

View: 415

Covers: � Implementing an application scoring system � Behavior modeling to manage your portfolio � Incorporating economic factors � Statistical techniques for choosing the optimal credit risk model � How to set cutoffs and override rules � Modeling for the sub-prime market � How to evaluate and monitor credit risk models This is an indispensable guide for credit professionals and risk managers who want to understand and implement modeling techniques for increased profitability. In this one-of-a-kind text, experts in credit risk provide a step-by-step guide to building and implementing models both for evaluating applications and managing existing portfolios.
Categories: Business & Economics

Internal Credit Risk Models

Internal Credit Risk Models

A practical, accessible step-by-step analysis of the theory and practicalities of credit risk measurement and management.

Author: Michael K. Ong

Publisher: Risk Publications

ISBN: IND:30000079269019

Category: Administración de riesgos

Page: 364

View: 358

A practical, accessible step-by-step analysis of the theory and practicalities of credit risk measurement and management.
Categories: Administración de riesgos

Counterparty Credit Risk Modelling

Counterparty Credit Risk Modelling

To enhance your understanding of the risk management, pricing and regulation of counterparty credit risk, this new title offers the most detailed and comprehensive coverage available.

Author: Michael Pykhtin

Publisher: Riskbooks

ISBN: 190433976X

Category: Capital market

Page: 399

View: 587

To enhance your understanding of the risk management, pricing and regulation of counterparty credit risk, this new title offers the most detailed and comprehensive coverage available. Michael Pykhtin, a globally respected expert in credit risk, has combed the industry's most important organisations to assemble a winning team of specialist contributors - presenting you with the definitive insider view.
Categories: Capital market

IFRS 9 and CECL Credit Risk Modelling and Validation

IFRS 9 and CECL Credit Risk Modelling and Validation

Both IFRS 9 and CECL accounting standards require Banks to adopt a new perspective in assessing Expected Credit Losses. The book explores a wide range of models and corresponding validation procedures.

Author: Tiziano Bellini

Publisher: Academic Press

ISBN: 9780128149409

Category: Business & Economics

Page: 316

View: 932

IFRS 9 and CECL Credit Risk Modelling and Validation covers a hot topic in risk management. Both IFRS 9 and CECL accounting standards require Banks to adopt a new perspective in assessing Expected Credit Losses. The book explores a wide range of models and corresponding validation procedures. The most traditional regression analyses pave the way to more innovative methods like machine learning, survival analysis, and competing risk modelling. Special attention is then devoted to scarce data and low default portfolios. A practical approach inspires the learning journey. In each section the theoretical dissertation is accompanied by Examples and Case Studies worked in R and SAS, the most widely used software packages used by practitioners in Credit Risk Management. Offers a broad survey that explains which models work best for mortgage, small business, cards, commercial real estate, commercial loans and other credit products Concentrates on specific aspects of the modelling process by focusing on lifetime estimates Provides an hands-on approach to enable readers to perform model development, validation and audit of credit risk models
Categories: Business & Economics

Theory and Practice of Credit Risk Modelling

Theory and Practice of Credit Risk Modelling

A collection of technical papers on the area of financial engineering. It includes three main sections: defaults of individual obligors, defaults in large portfolios, and defaults in medium and small portfolios.

Author: Alexander Lipton

Publisher:

ISBN: 1904339646

Category: Credit

Page: 342

View: 613

Edited and introduced by Alexander Lipton, the leading expert on credit modelling, this collection of 18 technical papers on this complex area of financial engineering is the first book in the new Risk Books Cutting Edge series. The Series presents key technical papers drawn from the Cutting Edge section of Risk, the world's leading financial risk management magazine. Each volume provides an introduction from an industry expert, and explores how academic thinking has developed over the years, how market applications and practitioner usage has evolved, and future developments in the field. For this book, contributions have been gathered from 32 authors, including some of the most well known names in the field.
Categories: Credit

Credit Derivatives

Credit Derivatives

Credit Derivatives fills the gap, explaining the credit risk market clearly and simply, in language any working financial professional can understand.

Author: George Chacko

Publisher: Pearson Education

ISBN: 9780132715928

Category: Business & Economics

Page: 288

View: 650

The credit risk market is the fastest growing financial market in the world, attracting everyone from hedge funds to banks and insurance companies. Increasingly, professionals in corporate finance need to understand the workings of the credit risk market in order to successfully manage risk in their own organizations; in addition, some wish to move into the field on a full-time basis. Most books in the field, however, are either too academic for working professionals, or written for those who already possess extensive experience in the area. Credit Derivatives fills the gap, explaining the credit risk market clearly and simply, in language any working financial professional can understand. Harvard Business School faculty member George C. Chacko and his colleagues begin by explaining the underlying principles surrounding credit risk. Next, they systematically present today's leading methods and instruments for managing it. The authors introduce total return swaps, credit spread options, credit linked notes, and other instruments, demonstrating how each of them can be used to isolate risk and sell it to someone willing to accept it.
Categories: Business & Economics

Credit Risk Pricing Models

Credit Risk Pricing Models

These definitions force several questions on us: • What does it make important to
consider these types of risk 7 • Why have credit risk modelling and credit risk
management issues received renewed attention only recently 7 The last few
years ...

Author: Bernd Schmid

Publisher: Springer Science & Business Media

ISBN: 354040466X

Category: Business & Economics

Page: 383

View: 751

Credit Risk Pricing Models - now in its second edition - gives a deep insight into the latest basic and advanced credit risk modelling techniques covering not only the standard structural, reduced form and hybrid approaches but also showing how these methods can be applied to practice. The text covers a broad range of financial instruments, including all kinds of defaultable fixed and floating rate debt, credit derivatives and collateralised debt obligations.This volume will be a valuable source for the financial community involved in pricing credit linked financial instruments. In addition, the book can be used by students and academics for a comprehensive overview of the most important credit risk modelling issues.
Categories: Business & Economics

Advances in Credit Risk Modelling and Corporate Bankruptcy Prediction

Advances in Credit Risk Modelling and Corporate Bankruptcy Prediction

Models and techniques are illustrated with empirical examples and are accompanied by a careful explanation of model derivation issues. An ideal resource for academics, practitioners and regulators.

Author: Stewart Jones

Publisher: Cambridge University Press

ISBN: 9780521869287

Category: Business & Economics

Page: 298

View: 240

A thorough compendium of credit risk modelling approaches, including several new techniques that extend the horizons of future research and practice. Models and techniques are illustrated with empirical examples and are accompanied by a careful explanation of model derivation issues. An ideal resource for academics, practitioners and regulators.
Categories: Business & Economics

Rating Based Modeling of Credit Risk

Rating Based Modeling of Credit Risk

The aim of this book is to provide a review on theory and application of migration
matrices in rating based credit risk models. In the last decade, rating based
models in credit risk management have become very popular. These systems
use the ...

Author: Stefan Trueck

Publisher: Academic Press

ISBN: 0080920306

Category: Business & Economics

Page: 280

View: 273

In the last decade rating-based models have become very popular in credit risk management. These systems use the rating of a company as the decisive variable to evaluate the default risk of a bond or loan. The popularity is due to the straightforwardness of the approach, and to the upcoming new capital accord (Basel II), which allows banks to base their capital requirements on internal as well as external rating systems. Because of this, sophisticated credit risk models are being developed or demanded by banks to assess the risk of their credit portfolio better by recognizing the different underlying sources of risk. As a consequence, not only default probabilities for certain rating categories but also the probabilities of moving from one rating state to another are important issues in such models for risk management and pricing. It is widely accepted that rating migrations and default probabilities show significant variations through time due to macroeconomics conditions or the business cycle. These changes in migration behavior may have a substantial impact on the value-at-risk (VAR) of a credit portfolio or the prices of credit derivatives such as collateralized debt obligations (D+CDOs). In Rating Based Modeling of Credit Risk the authors develop a much more sophisticated analysis of migration behavior. Their contribution of more sophisticated techniques to measure and forecast changes in migration behavior as well as determining adequate estimators for transition matrices is a major contribution to rating based credit modeling. Internal ratings-based systems are widely used in banks to calculate their value-at-risk (VAR) in order to determine their capital requirements for loan and bond portfolios under Basel II One aspect of these ratings systems is credit migrations, addressed in a systematic and comprehensive way for the first time in this book The book is based on in-depth work by Trueck and Rachev
Categories: Business & Economics

Credit Risk Analytics

Credit Risk Analytics

This book ends the search by providing a comprehensive, focused resource backed by expert guidance. Credit Risk Analytics is the reference every risk manager needs to streamline the modeling process.

Author: Bart Baesens

Publisher: John Wiley & Sons

ISBN: 9781119278344

Category: Business & Economics

Page: 512

View: 367

The long-awaited, comprehensive guide to practical credit risk modeling Credit Risk Analytics provides a targeted training guide for risk managers looking to efficiently build or validate in-house models for credit risk management. Combining theory with practice, this book walks you through the fundamentals of credit risk management and shows you how to implement these concepts using the SAS credit risk management program, with helpful code provided. Coverage includes data analysis and preprocessing, credit scoring; PD and LGD estimation and forecasting, low default portfolios, correlation modeling and estimation, validation, implementation of prudential regulation, stress testing of existing modeling concepts, and more, to provide a one-stop tutorial and reference for credit risk analytics. The companion website offers examples of both real and simulated credit portfolio data to help you more easily implement the concepts discussed, and the expert author team provides practical insight on this real-world intersection of finance, statistics, and analytics. SAS is the preferred software for credit risk modeling due to its functionality and ability to process large amounts of data. This book shows you how to exploit the capabilities of this high-powered package to create clean, accurate credit risk management models. Understand the general concepts of credit risk management Validate and stress-test existing models Access working examples based on both real and simulated data Learn useful code for implementing and validating models in SAS Despite the high demand for in-house models, there is little comprehensive training available; practitioners are left to comb through piece-meal resources, executive training courses, and consultancies to cobble together the information they need. This book ends the search by providing a comprehensive, focused resource backed by expert guidance. Credit Risk Analytics is the reference every risk manager needs to streamline the modeling process.
Categories: Business & Economics