{"product_id":"advanced-credit-risk-analysis-isbn-9780471987239","title":"Advanced Credit Risk Analysis","description":"Advanced Credit Analysis presents the latest and most advanced modelling techniques in the theory and practice of credit risk pricing and management.\u003cbr\u003e The book stresses the logic of theoretical models from the structural and the reduced-form kind, their applications and extensions. It shows the mathematical models that help determine optimal collateralisation and marking-to-market policies. It looks at modern credit risk management tools and the current structuring techniques available with credit derivatives.Bewertung und effektives Kreditrisikomanagement sind maßgebend für den Erfolg jeder Finanzinstitution. Üblicherweise war dies Aufgabe der Kreditrisikoabteilungen, die versicherungsmathematische Methoden auf der Basis historischer Daten benutzten. Durch das massive Wachstum an den Finanzmärkten, zusammen mit der zunehmenden Weiterentwicklung und Verfeinerung der Finanzinstrumente in den letzten Jahren sind diese Methoden für aktuelle Bedürfnisse nicht mehr geeignet. Die Zunahme derivativer Instrumente, von denen die meisten im Freiverkehr gehandelt werden, und die Schaffung von Kreditderivaten hat deutlich gemacht, daß Finanzinstitutionen auf verfeinerte Methoden zur Bewertung des Kreditrisikos zurückgreifen müssen. \"Advanced Credit Risk Analysis\" präsentiert aktuelle, weiterentwickelte Modellverfahren zur Konditionengestaltung und zum Kreditrisikomanagement und diskutiert die Anwendung dieser Techniken in der Praxis. Acknowledgements.\u003cbr\u003e \u003cbr\u003e Introduction.\u003cbr\u003e CREDIT RISK PRICING.\u003cbr\u003e Introduction to Modern Credit Risk Pricing.\u003cbr\u003e Merton's Approach: The Intuition Behind Structural Models.\u003cbr\u003e Subsequent Financial Engineering.\u003cbr\u003e Stochastic Interest Rates and Credit Risk.\u003cbr\u003e Advanced Considerations on Bankruptcy Endogeneity.\u003cbr\u003e Reduced-Form\/Mixed Approaches.\u003cbr\u003e CREDIT RISK OF DERIVATIVES.\u003cbr\u003e Swap Credit Risk Pricing.\u003cbr\u003e Credit Risk in Options: Vulnerable Options.\u003cbr\u003e THEORETICAL WRAP-UP AND EMPIRICAL EVIDENCE.\u003cbr\u003e Introduction.\u003cbr\u003e Literature Wrap-Up.\u003cbr\u003e Empirical Evidence.\u003cbr\u003e A PROPOSITION FOR A STRUCTURAL MODEL.\u003cbr\u003e Introduction.\u003cbr\u003e The Pricing Model.\u003cbr\u003e Comparative Statics.\u003cbr\u003e The Practical Implementation and Final Issues.\u003cbr\u003e COLLATERALIZATION, MARKING-TO-MARKET, AND THEIR IMPACT ON CREDIT RISK.\u003cbr\u003e Introduction.\u003cbr\u003e A Structural Methodology for Haircut Determination and the Pricing of Credit Risk with Risky Collateral.\u003cbr\u003e Credit Risk Collateral Control as an Impulse Control Problem.\u003cbr\u003e MANAGEMENT OF CREDIT RISK.\u003cbr\u003e Advanced Management Tools.\u003cbr\u003e Financial Structuring with Credit Derivatives.\u003cbr\u003e Appendix A: Itô's Lemma.\u003cbr\u003e Appendix B: A Review of Interest Rate Models.\u003cbr\u003e General Bibliography.\u003cbr\u003e Index. \u003cp\u003e\"... an ambitious, well-researched book with probably the most comprehensive review of the credit-risk-modelling literature.... I eagerly await the next edition.\" (\u003ci\u003eQuantitative Finance,\u003c\/i\u003e March 2001)\u003c\/p\u003e \u003cb\u003eDIDIER COSSIN\u003c\/b\u003e is Professor of Finance at HEC, Lausanne and Adjunct Professor at The International Institute of Management Development (IMD), Lausanne. He has previously taught at Harvard University (where he won two Derek Bok Awards for excellence in teaching) and was a Fulbright Fellow at the Massachusetts Institute of Technology. He holds a PhD from Harvard University and has also studied at Ecole Normale Supérieure (ENS) and Sorbonne University.\u003cbr\u003e\u003cbr\u003eDidier Cossin's professional experience includes: Goldman Sachs in London, Associés en Finance in Paris and Roussel Uclaf in Japan. He writes and referees for a number of leading journals and has presented papers at many major international conferences. Professor Cossin has also been a consultant or executive teacher to a large number of banks and corporations.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eHUGUES PIROTTE\u003c\/b\u003e is Financial Engineer and co-founder of FinMetrics, a company specialising in consultancy and training in financial risk management, performance measurement and valuation. He holds a PhD from HEC, University of Lausanne, for which he completed a thesis on credit risk, as well as degrees in Banking and Finance and in Business Administration.\u003cbr\u003eHugues Pirotte also lectures at: HEC-University of Lausanne (The Institute of Banking and Financial Management), the University of Geneva, and at Thunderbird, American Graduate School of International Managament (Geneva). He has published papers in a number of leading journals and presented at international conferences. Credit risk has always been a topic of major concern for banks and other financial intermediaries. Traditionally this has been addressed by credit risk departments using actuarial methods based on historical data. However, in recent years the massive growth in financial markets combined with the increasing sophistication of financial instruments has meant that such methods have become inadequate for current needs.\u003cbr\u003e \u003cbr\u003e The rapid growth of derivative instruments, the majority of which are traded over-the-counter, combined with the creation of credit derivatives, has highlighted the necessity for financial institutions to use more sophistication methods to value, rather than simply ration their credit risk exposure.\u003cbr\u003e \u003cbr\u003e In Advanced Credit Risk Analysis two specialists in the analysis of credit risk present the latest and most advanced modelling techniques for credit risk pricing and credit risk management, together with a discussion of their application in practice. The assessment and effective management of credit risk is fundamental to the success of any financial institution. However, the increasing sophistication of financial instruments, many of which are over-the-counter products, has demonstrated that traditional methods of evaluation of risk are no longer adequate. Even \"common practice\" now requires advanced methodologies.\u003cbr\u003e \u003cbr\u003e \"...The first comprehensive and detailed compendium of credit risk models. This book is an absolute must for all the students and risk professionals who need to understand the modern foundations of credit risk management.\" Michel Crouhy, Risk Management, CIBC\u003cbr\u003e \u003cbr\u003e \"This is an impressive exposition of credit risk matters. Every angle is investigated: structural models, reduced-form models, credit risk of derivatives, and empirical results are all explained with verve and rigor. This book should be read by all credit specialists who care to venture beyond the obvious.\" Jamil Baz, Co-Head of Fixed Income Research, Lehman Brothers, Europe\u003cbr\u003e \u003cbr\u003e \"The measurement and management of credit risk has undergone a revolutionary transformation over the past few years. Advances in credit pricing and risk management models, together with the development of a sophisticated market for credit derivatives, have forced banks and investors alike to re-evaluate their entire approach to credit risk. Didier Cossin and Hugues Pirotte have delivered a timely, comprehensive and well-balanced synthesis of the concepts and models underpinning modern credit management.\" Guy Coughlan, Head of European Portfolio Research, J.P. Morgan\u003cbr\u003e \u003cbr\u003e \"This book has assembled the major results on the value of instruments that are subject to credit risk. The coverage is extensive. Therefore it should prove to be a useful text for both practitioners and graduate students who wish to work in this area.\" Professor Suresh M. Sundaresan, Chase Manhattan Bank Foundation Professor, Columbia Business School","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47988665876709,"sku":"NP9780471987239","price":190.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780471987239.jpg?v=1761781180","url":"https:\/\/k12savings.com\/es\/products\/advanced-credit-risk-analysis-isbn-9780471987239","provider":"K12savings","version":"1.0","type":"link"}