Advanced Credit Risk Analysis: Financial Approaches and Mathematical Models to Assess, Price, and Manage Credit Risk: 73 (Wiley Series in Financial Engineering) - Tapa dura

Cossin; Pirotte

 
9780471987239: Advanced Credit Risk Analysis: Financial Approaches and Mathematical Models to Assess, Price, and Manage Credit Risk: 73 (Wiley Series in Financial Engineering)
Tapa dura
ISBN 10: 0471987239 ISBN 13: 9780471987239
Editorial: John Wiley & Sons, 2000

Sinopsis

Advanced Credit Analysis presents the latest and most advanced modelling techniques in the theory and practice of credit risk pricing and management.
The book stresses the logic of theoretical models from the structural and the reduced-form kind, their applications and extensions. It shows the mathematical models that help determine optimal collateralisation and marking-to-market policies. It looks at modern credit risk management tools and the current structuring techniques available with credit derivatives.

"Sinopsis" puede pertenecer a otra edición de este libro.

Acerca del autor

DIDIER COSSIN is Professor of Finance at HEC, Lausanne and Adjunct Professor at The International Institute of Management Development (IMD), Lausanne. He has previously taught at Harvard University (where he won two Derek Bok Awards for excellence in teaching) and was a Fulbright Fellow at the Massachusetts Institute of Technology. He holds a PhD from Harvard University and has also studied at Ecole Normale Supérieure (ENS) and Sorbonne University.

Didier Cossin's professional experience includes: Goldman Sachs in London, Associés en Finance in Paris and Roussel Uclaf in Japan. He writes and referees for a number of leading journals and has presented papers at many major international conferences. Professor Cossin has also been a consultant or executive teacher to a large number of banks and corporations.

HUGUES PIROTTE is Financial Engineer and co-founder of FinMetrics, a company specialising in consultancy and training in financial risk management, performance measurement and valuation. He holds a PhD from HEC, University of Lausanne, for which he completed a thesis on credit risk, as well as degrees in Banking and Finance and in Business Administration.
Hugues Pirotte also lectures at: HEC-University of Lausanne (The Institute of Banking and Financial Management), the University of Geneva, and at Thunderbird, American Graduate School of International Managament (Geneva). He has published papers in a number of leading journals and presented at international conferences.

De la contraportada

The assessment and effective management of credit risk is fundamental to the success of any financial institution. However, the increasing sophistication of financial instruments, many of which are over-the-counter products, has demonstrated that traditional methods of evaluation of risk are no longer adequate. Even "common practice" now requires advanced methodologies.

"...The first comprehensive and detailed compendium of credit risk models. This book is an absolute must for all the students and risk professionals who need to understand the modern foundations of credit risk management." Michel Crouhy, Risk Management, CIBC

"This is an impressive exposition of credit risk matters. Every angle is investigated: structural models, reduced-form models, credit risk of derivatives, and empirical results are all explained with verve and rigor. This book should be read by all credit specialists who care to venture beyond the obvious." Jamil Baz, Co-Head of Fixed Income Research, Lehman Brothers, Europe

"The measurement and management of credit risk has undergone a revolutionary transformation over the past few years. Advances in credit pricing and risk management models, together with the development of a sophisticated market for credit derivatives, have forced banks and investors alike to re-evaluate their entire approach to credit risk. Didier Cossin and Hugues Pirotte have delivered a timely, comprehensive and well-balanced synthesis of the concepts and models underpinning modern credit management." Guy Coughlan, Head of European Portfolio Research, J.P. Morgan

"This book has assembled the major results on the value of instruments that are subject to credit risk. The coverage is extensive. Therefore it should prove to be a useful text for both practitioners and graduate students who wish to work in this area." Professor Suresh M. Sundaresan, Chase Manhattan Bank Foundation Professor, Columbia Business School

De la solapa interior

Credit risk has always been a topic of major concern for banks and other financial intermediaries. Traditionally this has been addressed by credit risk departments using actuarial methods based on historical data. However, in recent years the massive growth in financial markets combined with the increasing sophistication of financial instruments has meant that such methods have become inadequate for current needs.

The rapid growth of derivative instruments, the majority of which are traded over-the-counter, combined with the creation of credit derivatives, has highlighted the necessity for financial institutions to use more sophistication methods to value, rather than simply ration their credit risk exposure.

In Advanced Credit Risk Analysis two specialists in the analysis of credit risk present the latest and most advanced modelling techniques for credit risk pricing and credit risk management, together with a discussion of their application in practice.

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Editorial
John Wiley & Sons
Año de publicación
2000
Idioma
Inglés
ISBN 10 
0471987239
ISBN 13 
9780471987239
Encuadernación
Tapa dura
Número de páginas
372
Contacto del fabricante
no disponible
Persona responsable
no disponible