Rating Based Modeling of Credit Risk

Rating Based Modeling of Credit Risk
Author: Stefan Trueck,Svetlozar T. Rachev
Publsiher: Academic Press
Total Pages: 280
Release: 2009-01-15
ISBN 10: 9780080920306
ISBN 13: 0080920306
Language: EN, FR, DE, ES & NL

Rating Based Modeling of Credit Risk Book Review:

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

Credit Risk Modeling

Credit Risk Modeling
Author: David Lando
Publsiher: Princeton University Press
Total Pages: 328
Release: 2009-12-13
ISBN 10: 1400829194
ISBN 13: 9781400829194
Language: EN, FR, DE, ES & NL

Credit Risk Modeling Book Review:

Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.

Credit Risk Analytics

Credit Risk Analytics
Author: Bart Baesens,Daniel Roesch,Harald Scheule
Publsiher: John Wiley & Sons
Total Pages: 512
Release: 2016-10-03
ISBN 10: 1119143985
ISBN 13: 9781119143987
Language: EN, FR, DE, ES & NL

Credit Risk Analytics Book Review:

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.

Credit Risk Modeling using Excel and VBA

Credit Risk Modeling using Excel and VBA
Author: Gunter Löeffler,Peter N. Posch
Publsiher: John Wiley & Sons
Total Pages: 280
Release: 2007-04-30
ISBN 10: 0470510749
ISBN 13: 9780470510742
Language: EN, FR, DE, ES & NL

Credit Risk Modeling using Excel and VBA Book Review:

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, in this case credit. Credit Risk Modeling using Excel and VBA with DVD provides practitioners with a hands on introduction to credit risk modeling. Instead of just presenting analytical methods it shows how to implement them using Excel and VBA, in addition to a detailed description in the text a DVD guides readers step by step through the implementation. The authors begin by showing how to use option theoretic and statistical models to estimate a borrowers default risk. The second half of the book is devoted to credit portfolio risk. The authors guide readers through the implementation of a credit risk model, show how portfolio models can be validated or used to access structured credit products like CDO’s. The final chapters address modeling issues associated with the new Basel Accord.

An Introduction to Credit Risk Modeling

An Introduction to Credit Risk Modeling
Author: Christian Bluhm,Ludger Overbeck,Christoph Wagner
Publsiher: CRC Press
Total Pages: 297
Release: 2002-09-27
ISBN 10: 9781420057362
ISBN 13: 1420057367
Language: EN, FR, DE, ES & NL

An Introduction to Credit Risk Modeling Book Review:

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.

Managing Portfolio Credit Risk in Banks An Indian Perspective

Managing Portfolio Credit Risk in Banks  An Indian Perspective
Author: Arindam Bandyopadhyay
Publsiher: Cambridge University Press
Total Pages: 390
Release: 2016-03-31
ISBN 10: 110714647X
ISBN 13: 9781107146471
Language: EN, FR, DE, ES & NL

Managing Portfolio Credit Risk in Banks An Indian Perspective Book Review:

This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively.

Credit Risk in L vy Libor Modeling

Credit Risk in L  vy Libor Modeling
Author: Zorana Grbac
Publsiher: Anonim
Total Pages: 329
Release: 2009
ISBN 10:
ISBN 13: OCLC:1184961425
Language: EN, FR, DE, ES & NL

Credit Risk in L vy Libor Modeling Book Review:

Credit Risk

Credit Risk
Author: Niklas Wagner
Publsiher: CRC Press
Total Pages: 600
Release: 2008-05-28
ISBN 10: 9781584889953
ISBN 13: 1584889950
Language: EN, FR, DE, ES & NL

Credit Risk Book Review:

Featuring contributions from leading international academics and practitioners, Credit Risk: Models, Derivatives, and Management 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. Divided into six sections, the book • Explores the rapidly developing area of credit derivative products, including iTraxx Futures, iTraxx Default Swaptions, and constant proportion debt obligations • Addresses the relationships between the DJ iTraxx credit default swap (CDS) index and the stock market as well as CDS spreads and macroeconomic factors • Investigates systematic and firm-specific default risk factors, compares CDS pricing results from the CreditGrades industry benchmark to a trinomial tree approach, and applies the Hull–White intensity-based model to the pricing of names from the CDX index • Analyzes aggregate default and recovery rates on corporate bond defaults over a twenty-year period, the responses of hazard rates to changes in a set of economic variables, low-default portfolios, and tests on the accuracy of the Basel II framework • Describes benchmark models of implied credit correlation risk, copula-based default dependence concepts, the fit of various copula models, and a common factor model of systematic credit risk • Studies the pricing of options on single-name CDSs, the pricing of credit derivatives, collateralized debt obligation (CDO) price data, the pricing of CDO tranches, applications of Gaussian and Student’s t copula functions, and the pricing of CDOs Using mathematical models and methodologies, this volume provides the essential knowledge to properly manage credit risk and make sound financial decisions.

Semi Markov Migration Models for Credit Risk

Semi Markov Migration Models for Credit Risk
Author: Guglielmo D'Amico,Giuseppe Di Biase,Jacques Janssen,Raimondo Manca
Publsiher: John Wiley & Sons
Total Pages: 316
Release: 2017-05-24
ISBN 10: 111941511X
ISBN 13: 9781119415114
Language: EN, FR, DE, ES & NL

Semi Markov Migration Models for Credit Risk Book Review:

Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation. This book presents a complete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers. This approach provides a good method of evaluating the default risk and the classical VaR indicators used for Solvency II and Basel III governance rules. This book is the first to present a complete semi-Markov treatment of credit risk while also insisting on the practical use of the models presented here, including numerical aspects, so that this book is not only useful for scientific research but also to managers working in this field for banks, insurance companies, pension funds and other financial institutions.

Credit Risk

Credit Risk
Author: Darrell Duffie,Kenneth J. Singleton
Publsiher: Princeton University Press
Total Pages: 416
Release: 2012-01-12
ISBN 10: 1400829178
ISBN 13: 9781400829170
Language: EN, FR, DE, ES & NL

Credit Risk Book Review:

In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. Masterfully applying theory to practice, Darrell Duffie and Kenneth Singleton model credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. The methodological rigor, scope, and sophistication of their state-of-the-art account is unparalleled, and its singularly in-depth treatment of pricing and credit derivatives further illuminates a problem that has drawn much attention in an era when financial institutions the world over are revising their credit management strategies. Duffie and Singleton offer critical assessments of alternative approaches to credit-risk modeling, while highlighting the strengths and weaknesses of current practice. Their approach blends in-depth discussions of the conceptual foundations of modeling with extensive analyses of the empirical properties of such credit-related time series as default probabilities, recoveries, ratings transitions, and yield spreads. Both the "structura" and "reduced-form" approaches to pricing defaultable securities are presented, and their comparative fits to historical data are assessed. The authors also provide a comprehensive treatment of the pricing of credit derivatives, including credit swaps, collateralized debt obligations, credit guarantees, lines of credit, and spread options. Not least, they describe certain enhancements to current pricing and management practices that, they argue, will better position financial institutions for future changes in the financial markets. Credit Risk is an indispensable resource for risk managers, traders or regulators dealing with financial products with a significant credit risk component, as well as for academic researchers and students.

IFRS 9 and CECL Credit Risk Modelling and Validation

IFRS 9 and CECL Credit Risk Modelling and Validation
Author: Tiziano Bellini
Publsiher: Academic Press
Total Pages: 316
Release: 2019-02-08
ISBN 10: 012814940X
ISBN 13: 9780128149409
Language: EN, FR, DE, ES & NL

IFRS 9 and CECL Credit Risk Modelling and Validation Book Review:

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

Credit Risk Modeling Valuation and Hedging

Credit Risk  Modeling  Valuation and Hedging
Author: Tomasz R. Bielecki,Marek Rutkowski
Publsiher: Springer Science & Business Media
Total Pages: 501
Release: 2013-03-14
ISBN 10: 3662048213
ISBN 13: 9783662048214
Language: EN, FR, DE, ES & NL

Credit Risk Modeling Valuation and Hedging Book Review:

The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.

Credit Risk Management

Credit Risk Management
Author: Jiří Witzany
Publsiher: Springer
Total Pages: 256
Release: 2017-02-24
ISBN 10: 3319498002
ISBN 13: 9783319498003
Language: EN, FR, DE, ES & NL

Credit Risk Management Book Review:

This book introduces to basic and advanced methods for credit risk management. It covers classical debt instruments and modern financial markets products. The author describes not only standard rating and scoring methods like Classification Trees or Logistic Regression, but also less known models that are subject of ongoing research, like e.g. Support Vector Machines, Neural Networks, or Fuzzy Inference Systems. The book also illustrates financial and commodity markets and analyzes the principles of advanced credit risk modeling techniques and credit derivatives pricing methods. Particular attention is given to the challenges of counterparty risk management, Credit Valuation Adjustment (CVA) and the related regulatory Basel III requirements. As a conclusion, the book provides the reader with all the essential aspects of classical and modern credit risk management and modeling.

Credit Risk Measurement

Credit Risk Measurement
Author: Anthony Saunders,Linda Allen
Publsiher: John Wiley & Sons
Total Pages: 336
Release: 2002-10-06
ISBN 10: 0471274763
ISBN 13: 9780471274766
Language: EN, FR, DE, ES & NL

Credit Risk Measurement Book Review:

The most cutting-edge read on the pricing, modeling, and management of credit risk available The rise of credit risk measurement and the credit derivatives market started in the early 1990s and has grown ever since. For many professionals, understanding credit risk measurement as a discipline is now more important than ever. Credit Risk Measurement, Second Edition has been fully revised to reflect the latest thinking on credit risk measurement and to provide credit risk professionals with a solid understanding of the alternative approaches to credit risk measurement. This readable guide discusses the latest pricing, modeling, and management techniques available for dealing with credit risk. New chapters highlight the latest generation of credit risk measurement models, including a popular class known as intensity-based models. Credit Risk Measurement, Second Edition also analyzes significant changes in banking regulations that are impacting credit risk measurement at financial institutions. With fresh insights and updated information on the world of credit risk measurement, this book is a must-read reference for all credit risk professionals. Anthony Saunders (New York, NY) is the John M. Schiff Professor of Finance and Chair of the Department of Finance at the Stern School of Business at New York University. He holds positions on the Board of Academic Consultants of the Federal Reserve Board of Governors as well as the Council of Research Advisors for the Federal National Mortgage Association. He is the editor of the Journal of Banking and Finance and the Journal of Financial Markets, Instruments and Institutions. Linda Allen (New York, NY) is Professor of Finance at Baruch College and Adjunct Professor of Finance at the Stern School of Business at New York University. She also is author of Capital Markets and Institutions: A Global View (Wiley: 0471130494). Over the years, financial professionals around the world have looked to the Wiley Finance series and its wide array of bestselling books for the knowledge, insights, and techniques that are essential to success in financial markets. As the pace of change in financial markets and instruments quickens, Wiley Finance continues to respond. With critically acclaimed books by leading thinkers on value investing, risk management, asset allocation, and many other critical subjects, the Wiley Finance series provides the financial community with information they want. Written to provide professionals and individuals with the most current thinking from the best minds in the industry, it is no wonder that the Wiley Finance series is the first and last stop for financial professionals looking to increase their financial expertise.

Understanding Credit Derivatives and Related Instruments

Understanding Credit Derivatives and Related Instruments
Author: Antúlio Neves Bomfim
Publsiher: Academic Press
Total Pages: 339
Release: 2005
ISBN 10: 0121082652
ISBN 13: 9780121082659
Language: EN, FR, DE, ES & NL

Understanding Credit Derivatives and Related Instruments Book Review:

Comprehensive introduction to the main isues in the credit derivatives market, including an accessible introduction to valuation methods.

Credit Risk

Credit Risk
Author: Darrell Duffie,Kenneth J. Singleton
Publsiher: Princeton University Press
Total Pages: 416
Release: 2012-01-12
ISBN 10: 1400829178
ISBN 13: 9781400829170
Language: EN, FR, DE, ES & NL

Credit Risk Book Review:

In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. Masterfully applying theory to practice, Darrell Duffie and Kenneth Singleton model credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. The methodological rigor, scope, and sophistication of their state-of-the-art account is unparalleled, and its singularly in-depth treatment of pricing and credit derivatives further illuminates a problem that has drawn much attention in an era when financial institutions the world over are revising their credit management strategies. Duffie and Singleton offer critical assessments of alternative approaches to credit-risk modeling, while highlighting the strengths and weaknesses of current practice. Their approach blends in-depth discussions of the conceptual foundations of modeling with extensive analyses of the empirical properties of such credit-related time series as default probabilities, recoveries, ratings transitions, and yield spreads. Both the "structura" and "reduced-form" approaches to pricing defaultable securities are presented, and their comparative fits to historical data are assessed. The authors also provide a comprehensive treatment of the pricing of credit derivatives, including credit swaps, collateralized debt obligations, credit guarantees, lines of credit, and spread options. Not least, they describe certain enhancements to current pricing and management practices that, they argue, will better position financial institutions for future changes in the financial markets. Credit Risk is an indispensable resource for risk managers, traders or regulators dealing with financial products with a significant credit risk component, as well as for academic researchers and students.

Retail Credit Risk Management

Retail Credit Risk Management
Author: M. Anolli,E. Beccalli,T. Giordani
Publsiher: Springer
Total Pages: 236
Release: 2013-01-29
ISBN 10: 1137006765
ISBN 13: 9781137006769
Language: EN, FR, DE, ES & NL

Retail Credit Risk Management Book Review:

Introducing the fundamentals of retail credit risk management, this book provides a broad and applied investigation of the related modeling theory and methods, and explores the interconnections of risk management, by focusing on retail and the constant reference to the implications of the financial crisis for credit risk management.

CreditRisk in the Banking Industry

CreditRisk  in the Banking Industry
Author: Matthias Gundlach,Frank Lehrbass
Publsiher: Springer Science & Business Media
Total Pages: 369
Release: 2004-06-18
ISBN 10: 9783540207382
ISBN 13: 3540207384
Language: EN, FR, DE, ES & NL

CreditRisk in the Banking Industry Book Review:

CreditRisk+ is a widely implemented default-mode model of portfolio credit risk, based on a methodology borrowed from actuarial mathematics. This book gives an account of the status quo as well as of new and recent developments of the credit risk model CreditRisk+, which is widely used in the banking industry. It gives an introduction to the model itself and to its ability to describe, manage and price credit risk. This timely book will be an indispensable tool.

Developing Credit Risk Models Using SAS Enterprise Miner and SAS STAT

Developing Credit Risk Models Using SAS Enterprise Miner and SAS STAT
Author: Iain Brown
Publsiher: Anonim
Total Pages: 174
Release: 2019-07-03
ISBN 10: 9781642953152
ISBN 13: 1642953156
Language: EN, FR, DE, ES & NL

Developing Credit Risk Models Using SAS Enterprise Miner and SAS STAT Book Review:

Combine complex concepts facing the financial sector with the software toolsets available to analysts. The credit decisions you make are dependent on the data, models, and tools that you use to determine them. Developing Credit Risk Models Using SAS Enterprise Miner and SAS/STAT: Theory and Applications combines both theoretical explanation and practical applications to define as well as demonstrate how you can build credit risk models using SAS Enterprise Miner and SAS/STAT and apply them into practice. The ultimate goal of credit risk is to reduce losses through better and more reliable credit decisions that can be developed and deployed quickly. In this example-driven book, Dr. Brown breaks down the required modeling steps and details how this would be achieved through the implementation of SAS Enterprise Miner and SAS/STAT. Users will solve real-world risk problems as well as comprehensively walk through model development while addressing key concepts in credit risk modeling. The book is aimed at credit risk analysts in retail banking, but its applications apply to risk modeling outside of the retail banking sphere. Those who would benefit from this book include credit risk analysts and managers alike, as well as analysts working in fraud, Basel compliancy, and marketing analytics. It is targeted for intermediate users with a specific business focus and some programming background is required. Efficient and effective management of the entire credit risk model lifecycle process enables you to make better credit decisions. Developing Credit Risk Models Using SAS Enterprise Miner and SAS/STAT: Theory and Applications demonstrates how practitioners can more accurately develop credit risk models as well as implement them in a timely fashion.

Introduction to Credit Risk Modeling Second Edition

Introduction to Credit Risk Modeling  Second Edition
Author: Christian Bluhm,Ludger Overbeck,Christoph Wagner
Publsiher: CRC Press
Total Pages: 384
Release: 2016-04-19
ISBN 10: 1584889934
ISBN 13: 9781584889939
Language: EN, FR, DE, ES & NL

Introduction to Credit Risk Modeling Second Edition Book Review:

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.