Average Reviews:
(More customer reviews)This book is the most comprehensive literature I have seen for credit risk modeling. It covers from the basic BIS regulatory capital framework to the state-of-the-art credit risk models. Numerous worked examples demonstrate the calculation for different risk weighted capitals with or without netting clearly. Well-known credit models such as KMV, CreditMetric and CreditRisk+ are rigorously explained. Advanced issues like default correlation, joint credit migration and loss tail events are also addressed appropriately. With the general framework, economic capital and risk adjusted performance measurement can be quantified. This book is full of concise but descriptive flow charts and diagrams for implementation purpose. I strongly recommend this book to those who want to understand and implement an internal credit model for capital regulatory and allocation purpose.
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This work provides a practical, accessible step-by-step analysis of the theory and practicalities of credit risk measurement and management. Topics covered include: default probabilities; expected and unexpected losses; time effects; default correlations; and loss distributions.
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