Credit Risk Modelling
Book
Hardback
1000 pages
978-0-333-99861-8 (ISBN)
Description
This volume is a practitioner's guide to the theory and practice of credit risk management at instrument and portfolio levels. It analyses the techniques for the modelling, evaluation and management of credit exposures and their associated risk. Credit scoring, financial statement analysis, game theoretic, and hazard rate and options-based techniques are covered, as well as structured products and credit derivatives. The book includes advanced techniques that extend the standard mean variance framework of modern finance in the search for greater realism and pricing accuracy.
More details
Series
Language
English
Place of publication
Basingstoke
United Kingdom
Target group
Professional and scholarly
Dimensions
Height: 234 mm
Width: 156 mm
ISBN-13
978-0-333-99861-8 (9780333998618)
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Schweitzer Classification
Person
Con Keating is a member of the Societe Universitaire Europeene pour Recherche en Finance, a member of the Steering Committee of the Financial Econometrics Research Centre at Cass Business School (formerly City University Business School) and former Chairman of the Committee on Methods and Measures of The European Federation of Financial Analysts' Societies. His career spans over thirty years of practical experience in fund management, insurance, and commercial and investment banking.
Content
Introduction - Credit Exposure - Derivatives, Guarantees, Insurance - Credit Analysis - Financial Statement Analysis, Asset Values and Cash Flows - Structures in Bonds - Covenants, FAA/Trustee, Default and Enforcement - The Simple Pricing of Credit - Merton, Duration and Convexity - Reduced Form and Structural Models - Portfolio Aggregation - Indices, Measures of Dependence, Barbell - Regulation - Basel, Mitigation Techniques - Classification - From LDA to ANN, Econometric Models, Spectral Analysis - Asset Backed - CDOs - Pricing and Simulation - MC, Gamma, dGamma Methods, Downside Measures - The Macro and Micro Economics of Credit - Spreads and Opportunities - The Econometrics Studies - The Way Forward - Endogeneity