Average Reviews:
(More customer reviews)The book proceeds mostly as theorem, proof, theorem, proof, but the proofs are incomplete. Many of the proofs simply cite a reference, I do not consider that a proof at all.
Nearly every paragraph cites multiple references, and claims the topic is outside the scope of the book and the reader should refer to some other book. It seems that most everything the book covers is in some way or another "out of the scope" of the book.
The flow is incoherent. Chapters 1 and 2 frequently cite figures and sections in chapter 4 and beyond.
Click Here to see more reviews about: Introduction to Credit Risk Modeling, Second Edition (Chapman & Hall/CRC Financial Mathematics Series)
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. 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 EditionAn expanded section on techniques for the generation of loss distributionsIntroductory sections on new topics, such as spectral risk measures, an axiomatic approach to capital allocation, and nonhomogeneous Markov chainsUpdated sections on the probability of default, exposure-at-default, loss-given-default, and regulatory capital A new section on multi-period modelsRecent developments in structured creditThe 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.
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