Credit Risk: Models, Derivatives, and Management (Chapman & Hall/Crc Financial Mathematics Series) | 
 enlarge | Creator: Niklas Wagner
Publisher: Chapman & Hall/CRC
Category: Book
List Price: $99.95
Buy New: $71.96
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Avg. Customer Rating:  2 reviews
Sales Rank: 391246
Media: Hardcover
Edition: 1
Number Of Items: 1
Pages: 600
Shipping Weight (lbs): 2.7
Dimensions (in): 10 x 7.2 x 1.5
ISBN: 1584889942
Dewey Decimal Number: 332.632
EAN: 9781584889946
ASIN: 1584889942
Publication Date: May 28, 2008
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Product Description
This volume illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results. It focuses on new products and their applications in the financial services industry and addresses the growing market of credit derivatives. The expert contributors examine issues specific to certain geographic areas, such as Latin America, Argentina, and the United States, and discuss recent cases of corporate bankruptcy, including Tyco, Worldcom, Enron, and Parmalat. The book also covers default and recovery risks, credit ratings, and applications within the Basel II framework.
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| Customer Reviews:
 EXCELLENT CREDIT RISK BOOK August 5, 2008
"The present credit crisis shows that credit risk modeling is a complex as well as serious task. Good to know that several excellent surveys of the topic exist including this one. A must for academics and money managers as well many excellent new articles in the area of credit risk"
Greg N. Gregoriou, PhD
Professor of Finance
State University of New York (Plattsburgh)
 how adequate was the modelling ? June 28, 2008
3 out of 7 found this review helpful
The maths behind credit risk management is quite sophisticated, as made clear in this handbook. The various authors of the chapters delve into the intricacies of how different financial instruments were cobbled together. Along with elaborate models of the risk of default. From such models, you can see how pricing was then derived for tranches of the synthetics.
Yet perhaps the models were not sufficiently diverse, and did not incorporate what actually happened and is happening in the US and other countries. The models keyed off historical data of default rates for mortgages. None used the assumption of a widespread fall in housing prices across the US, as no such event had occurred since the Depression. Well, this has happened and is not over yet. Default rates are still rising. And the derivatives, by their very structure, amplified these declines.
Read the book cynically. Look closely at the modelling.
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