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Benzschawel T. Credit Risk Modelling: Facts, Theory and Applications

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Benzschawel T. Credit Risk Modelling: Facts, Theory and Applications
Risk Books, 2012. — 527 p. — ISBN: 9781906348588
The author, Terry Benzschawel, succeeds in breaking down credit risk modelling into something that is easy to understand. The book does three main things: Describe data, theory and applications regarding corporations and sovereign nations likelihoods of default. Explain how the market prices the risk of default and its associated risk premiums. Present methods and examples of how this information can be used to manage the risk of credit portfolios and for trading of corporate bonds and credit default swaps. By providing an understanding of a previously very confused topic, the book will help interpret the facts of credit in a way that makes sense. This is done by providing theoretically sound and consistent methods for valuing bonds, loans and credit derivatives that is consistent with the facts of credit defaults and spreads. This book is a must-read for anyone wishing to understand credit risk from mathematical and intuitive perspectives. It is a point of reference for all credit risk modelling practitioners.
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