Risk Books, 2012. — 527 p. — ISBN: 9781906348588The 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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John Wiley & Sons, 2008. — 494 p. — (Market Risk Analysis, Vol. IV).
Value at Risk and Other Risk Metrics.
An Overview of Market Risk Assessment.
Risk Measurement in Banks.
Risk Measurement in Portfolio Management.
Risk Measurement in Large Corporations.
Downside and Quantile Risk Metrics.
Semi-Standard Deviation and Second Order Lower.
Wiley, 2013. — 579 p. — 2nd ed. — ISBN: 111817545X, 9781118175453
A top risk management practitioner addresses the essential aspects of modern financial risk management
In the Second Edition of Financial Risk Management + Website, market risk expert Steve Allen offers an insider's view of this discipline and covers the strategies, principles, and measurement techniques...
Oxford University Press, 2007. - 790 p. ISBN: 0199226407
Credit scoring aims to quantify the likelihood of a prospective borrower defaulting on payment over a specified period of time. The credit score is calculated using increasingly sophisticated statistical models, which vary considerably between individual cases. This clearly-written and comprehensive text covers the...
New York: Wiley, 2010. — 821 p.
Never before has risk management been so important.
Now in its third edition, this seminal work by Joël Bessis has been comprehensively revised and updated to take into account the changing face of risk management.
Fully restructured, featuring new material and discussions on new financial products, derivatives, Basel II, credit models based on...
Wiley, 2013. — 448 p. — ISBN: 1118604911, 9781118604915
Credit is essential in the modern world and creates wealth, provided it is used wisely. The Global Credit Crisis during 2008/2009 has shown that sound understanding of underlying credit risk is crucial. If credit freezes, almost every activity in the economy is affected. The best way to utilize credit and get results is to...
Wiley, 2013. – 775 p. – ISBN: 1118278542, 9781118278543.
Practical tools and advice for managing financial risk, updated for a post-crisis world.
Advanced Financial Risk Management bridges the gap between the idealized assumptions used for risk valuation and the realities that must be reflected in management actions. It explains, in detailed yet easy-to-understand terms, the...