Introduction to Credit Risk Modeling
2nd Edition
Published on 14. October 2024
Book
Paperback/Softback
384 pages
978-1-032-92079-5 (ISBN)
Description
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.
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.
Reviews / Votes
... this is a concise book for exploring the limitations of credit risk models and, to a lesser degree, asset valuation models. Read this book for a companionable journey through some of the limiting assumptions that make the models tractable. ... it may be the first one [book] that wastes no time in getting to the point, and moving on.-Annals of Actuarial Science, Vol. 5, June 2011
Bluhm, Overbeck, and Wagner offer help to mathematicians and physicists leaving the academy to work as risk or portfolio managers. For this introduction, they focus on main themes rather than details, and on portfolio rather than single obligor risk. ... this second [edition] takes account of problems in the banking industry [from] 2007-09.
-SciTech Book News, February 2011
Having a valid and up-to-date credit risk model (or models) is one of the most important aspects in today's risk management. The models require quite a bit of technical as well as practical know-how. Introduction to Credit Risk Modeling serves this purpose well. ... it would best fit the practitioner's needs. For students it can also be of great use, as an introductory course for credit risk models. A great first step into credit risk modeling. ... The book provides a nice coherent overview of the methods used in capital allocation. ... The book is written in a mixture of theorem-proof and applied styles. ... I find this rather pleasing, as it gives the reader the edge of theoretical exposition, which is extremely important. ... One really useful side of the book is that it provides step-by-step guide to methods presented. This should be really appreciated in industry and among students. ...
-MAA Reviews, January 2011
Praise for the First EditionThis is an outstanding book on the default models that are used internally by financial institutions. This practical book delves into the mathematics, the assumptions and the approximations that practitioners apply to make these models work.
-Glyn A. Holton, Contingency Analysis
There are so many financial tools available today and numbers are likely to grow in the future. If you work in this field of credit risk modeling, it is worth looking at the theoretical background, and this book is a well-rounded introduction.
-Journal of the Operational Research Society
As an introductory survey, it does an admirable job. ... this book is an important guide into the field of credit risk models. Mainly for the practitioner ... It is well written, fairly easy to follow.
-Horst Behncke, Zentralblatt MATH ... this is a concise book for exploring the limitations of credit risk models and, to a lesser degree, asset valuation models. Read this book for a companionable journey through some of the limiting assumptions that make the models tractable. ... it may be the first one [book] that wastes no time in getting to the point, and moving on.
-Annals of Actuarial Science, Vol. 5, June 2011
Bluhm, Overbeck, and Wagner offer help to mathematicians and physicists leaving the academy to work as risk or portfolio managers. For this introduction, they focus on main themes rather than details, and on portfolio rather than single obligor risk. ... this second [edition] takes account of problems in the banking industry [from] 2007-09.
-SciTech Book News, February 2011
Having a valid and up-to-date credit risk model (or models) is one of the most important aspects in today's risk management. The models require quite a bit of technical as well as practical know-how. Introduction to Credit Risk Modeling serves this purpose well. ... it would best fit the practitioner's needs. For students it can also be of great use, as an introductory course for credit risk models. A great first step into credit risk modeling. ... The book provides a nice coherent overview of the methods used in capital allocation. ... The book is written in a mixture of theorem-proof and applied styles. ... I find this rather pleasing, as it gives the reader the edge of theoretical exposition, which is extremely important. ... One really useful side of the book is that it provides step-by-step guide to methods presented. This should be really appreciated in industry and among students. ...
-MAA Reviews, January 2011
Praise for the First EditionThis is an outstanding book on the default models that are used internally by financial institutions. This practical book delves into the mathematics, the assumptions and the approximations that practitioners apply to make these models work.
-Glyn A. Holton, Contingency Analysis
There are so many financial tools available today and numbers are likely to grow in the future. If you work in this field of credit risk modelling it is worth looking at the theoretical background, and this book is a well-rounded introduction.
-Journal of the Operational Research Society
As an introductory survey it does an admirable job. ... this book is an important guide into the field of credit risk models. Mainly for the practitioner ... It is well written, fairly easy to follow.
-Horst Behncke, Zentralblatt MATH
More details
Series
Edition
2nd edition
Language
English
Place of publication
Boca Raton
United Kingdom
Publishing group
Taylor & Francis Ltd
Target group
Professional and scholarly
Professional Practice & Development
Product notice
Paperback (trade)
Unsewn / adhesive bound
Illustrations
50 s/w Abbildungen
50 Illustrations, black and white
Dimensions
Height: 230 mm
Width: 153 mm
Thickness: 22 mm
Weight
552 gr
ISBN-13
978-1-032-92079-5 (9781032920795)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Christian Bluhm | Ludger Overbeck | Christoph Wagner
Introduction to Credit Risk Modeling
E-Book
04/2016
2nd Edition
Chapman & Hall/CRC
€64.49
Available for download
Christian Bluhm | Ludger Overbeck | Christoph Wagner
Introduction to Credit Risk Modeling
E-Book
04/2016
2nd Edition
Chapman and Hall
€64.49
Available for download
Christian Bluhm | Ludger Overbeck | Christoph Wagner
Introduction to Credit Risk Modeling
Book
06/2010
2nd Edition
Chapman & Hall/CRC
€263.10
Shipment within 15-20 days
Persons
Over the years, Christian Bluhm has worked for Deutsche Bank, McKinsey, HypoVereinsbank's Group Credit Portfolio Management, and Credit Suisse. He earned a Ph.D. in mathematics from the University of Erlangen-Nuernberg.
Ludger Overbeck is a professor of probability theory and quantitative finance and risk management in the Institute of Mathematics at the University of Giessen. During his career, he worked for Deutsche Bundesbank, Deutsche Bank, HypoVereinsbank/UniCredit, DZBank, and Commerzbank. He earned a Ph.D. in mathematics from the University of Bonn.
Christoph Wagner has worked for Deutsche Bank, Allianz Group Center, UniCredit/HypoVereinsbank, and Allianz Risk Transfer. He earned a Ph.D. in statistical physics from the Technical University of Munich.
Ludger Overbeck is a professor of probability theory and quantitative finance and risk management in the Institute of Mathematics at the University of Giessen. During his career, he worked for Deutsche Bundesbank, Deutsche Bank, HypoVereinsbank/UniCredit, DZBank, and Commerzbank. He earned a Ph.D. in mathematics from the University of Bonn.
Christoph Wagner has worked for Deutsche Bank, Allianz Group Center, UniCredit/HypoVereinsbank, and Allianz Risk Transfer. He earned a Ph.D. in statistical physics from the Technical University of Munich.
Content
The Basics of Credit Risk Management. Modeling Correlated Defaults. Asset Value Models. The CreditRisk+ Model. Risk Measures and Capital Allocation. Term Structure of Default Probability. Credit Derivatives. Collateralized Debt Obligations. References. Index.