Measuring and Managing Credit Risk: Quantitative Approaches for Default Risk/Data Analysis and Models for Loss Distrubutions/Unique Strategies for Bank Capital Allocation and Securitization - Couverture rigide

De Servigny, Arnaud; Renault, Olivier

Couverture rigide

ISBN 10 : 0071417559 ISBN 13 : 9780071417556

Editeur : McGraw-Hill Professional, 2004

Synopsis

This book offers state-of-the-art tools and techniques for controlling credit risk exposure of all types, in every environment. The oldest risk in world financial markets - credit risk - has become a leading source of problems and confusion, not just for bankers and investors but for all finance professionals."The Standard & Poor's Guide to Measuring and Managing Credit Risk" will help you understand every aspect of credit risk, and provide you with today's most up-to-date techniques and models for identifying, measuring, monitoring, and controlling your organization's credit risk exposure. 'de Servigny and Renault have written a valuable reference book on the analytics of credit markets. Theory and data are integrated seamlessly throughout the manuscript. The mathematical treatment is complete, though not overbearing. The economics, pricing, structuring and capital allocation aspects are artfully combined into a coherent whole' - Jamil Baz, Global Head of Fixed Income Research, Deutsche Bank.' This is much more than just a 'how to' book - it is analytically complete in that it looks at the microeconomics of industry structure to understand why credit risks have to be measured and monitored as well as being comprehensive in covering all the different approaches used to monitor and measure credit risk' - Bunt Ghosh, Global Head of Fixed Income Research, Credit Suisse First Boston. 'This extensive work, really clear while dealing with sophisticated methodologies, is right in the heart of today's concerns' - Jean-Pierre Mustier, CEO, SG Corporate and Investment Banking. "de Servigny and Renault provide a comprehensive treatment of all aspects of modern credit risk measurement, management, and mitigation, not only for large corporations but also for retail and small business (with an excellent chapter on credit scoring).This book is an absolute must for both academics and risk professionals, especially those struggling with the implementation of Basel II' - Michel Crouh

A propos du livre

Biographie de l'auteur :

Arnaud de Servigny, Ph.D., is the head of Quantitative Analytics for Standard & Poor's. A popular speaker at conferences and seminars throughout Europe, de Servigny is the author of a number of books and articles on finance and credit risk.

Olivier Renault, Ph.D., works in portfolio modeling in the quantitative analytics and products team for Standard & Poor's Risk Solutions. Prior to joining Standard and Poor's, Olivier was a lecturer on finance at the London School of Economics where he taught derivatives and risk.

À propos de cette édition

• Éditeur: McGraw-Hill Professional
• Date d'édition: 2004
• ISBN 10: 0071417559
• ISBN 13: 9780071417556
• Reliure: Relié
• Nombre de pages: 480