Average Reviews:
(More customer reviews)Bohn and Stein are two of the great innovators in quantitative credit risk, who translated theory into commercial implementation and introduced many of the measurement and validation methods currently used in practice today. This book draws from the wealth of their experience and knowledge and is a masterful overview of single obligor default probability models (structural, econometric, reduced form), model validation, and portfolio models.
Importantly, Bohn and Stein's book possesses something many simply technical works on quantitative credit modeling lack: a point of view. Throughout the book, the authors offer opinions, insights, critiques, and even humor on credit modeling issues. The authors' frankness about just how much judgment goes into the credit risk modeling process is refreshing. Bohn and Stein also offer advice on issues that are not treated in typical credit risk books, such as how to effectively manage a credit research team and practical risk management in a bank.
For those looking for extensive mathematical treatments/proofs of credit risk models, look elsewhere. This is not to say that the book is light on the mathematical details, however. The book contains only the mathematics necessary (which is not inconsequential) for the technical exposition, no more. The book is very readable, and I view its economy as one of the book's strengths rather than a drawback.
This is a book to which I often refer and I cannot recommend it highly enough. A quant's library is incomplete without it.
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