- Hardcover: 297 pages
- Publisher: Chapman and Hall/CRC; First Edition edition (27 Sep 2002)
- Language English
- ISBN-10: 158488326X
- ISBN-13: 978-1584883265
- Product Dimensions: 23 x 17.5 x 2.2 cm
- Amazon Bestsellers Rank: 997,540 in Books (See Top 100 in Books)
- See Complete Table of Contents
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Product Description
Product Description
In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques.
An Introduction to Credit Risk Modeling supplies both the bricks and the mortar of risk management. In a gentle and concise lecture-note style, it introduces the fundamentals of credit risk management, provides a broad treatment of the related modeling theory and methods, and explores their application to credit portfolio securitization, credit risk in a trading portfolio, and credit derivatives risk. The presentation is thorough but refreshingly accessible, foregoing unnecessary technical details yet remaining mathematically precise.
Whether you are a risk manager looking for a more quantitative approach to credit risk or you are planning a move from the academic arena to a career in professional credit risk management, An Introduction to Credit Risk Modeling is the book you've been looking for. It will bring you quickly up to speed with information needed to resolve the questions and quandaries encountered in practice.
An Introduction to Credit Risk Modeling supplies both the bricks and the mortar of risk management. In a gentle and concise lecture-note style, it introduces the fundamentals of credit risk management, provides a broad treatment of the related modeling theory and methods, and explores their application to credit portfolio securitization, credit risk in a trading portfolio, and credit derivatives risk. The presentation is thorough but refreshingly accessible, foregoing unnecessary technical details yet remaining mathematically precise.
Whether you are a risk manager looking for a more quantitative approach to credit risk or you are planning a move from the academic arena to a career in professional credit risk management, An Introduction to Credit Risk Modeling is the book you've been looking for. It will bring you quickly up to speed with information needed to resolve the questions and quandaries encountered in practice.
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Why is credit risk management an important issue in banking? Read the first page
Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
Why is credit risk management an important issue in banking? Read the first page
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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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Most Helpful Customer Reviews on Amazon.com (beta)
Amazon.com:
4.7 out of 5 stars (7 customer reviews)
25 of 26 people found the following review helpful:
5.0 out of 5 stars
CreditTrader, 5 Nov 2002
By A Customer - Published on Amazon.com
This review is from: An Introduction to Credit Risk Modeling (Chapman & Hall/CRC Financial Mathematics Series) (Hardcover)
This is an excellent treatise on the near state-of-the-art in credit risk management. Although the focus is on sell-side risk management, many (if not all) of the techniques described can be used on the buy-side also.This is the first book that really focusses on the portfolio problem of credit risk - many books have touched on vendor-provided models and their shortcomings but Bluhm et al. take it further into the practitioner's world.
The reader does not need a very strong background in math or physics but some understanding of finance and stochastic calculus would help to get the most out of it.
I recommend to everyone who is either in or thinking of getting into credit risk as a career - enjoy....
7 of 7 people found the following review helpful:
5.0 out of 5 stars
a very good book, 31 Oct 2006
By K. J. Broekema - Published on Amazon.com
This review is from: An Introduction to Credit Risk Modeling (Chapman & Hall/CRC Financial Mathematics Series) (Hardcover)
The authors wanted to write the book that they themselves would have liked to read before starting a profession in risk management. I am working for a treasury consultancy firm. This book was the best of the five I bought. The text is very clear yet does not assume too much prior knowledge. It covers theory as well as industry practice. The book contains much advanced statistics and readers must have some background in order to handle this. The authors keep it simple but not too simple. Their approach is pragmatic throughout. I am really happy to have read this book when I started doing work in credit risk management.
7 of 8 people found the following review helpful:
4.0 out of 5 stars
read this before going for it, 23 April 2007
By Humayun Riyasat "Humayun Ali" - Published on Amazon.com
This review is from: An Introduction to Credit Risk Modeling (Chapman & Hall/CRC Financial Mathematics Series) (Hardcover)
Well first off I would like to tell anyone who doesn't have a solid working knowledge of calculus (including multivariate) to avoid this book as it requires multiple integrals and infinite series and sequences. Now onto the good and the bad:
THE GOOD:
This text explains concepts very well and is FULL of examples. I mean literally 3/4 of the book, maybe more, is examples. Every chapter also has a section of problems that have partial solutions, which can come in very handy. This is pretty much all that is good about this text, but keep in mind that explaination is the most important part of any textbook.
THE BAD:
The proofs skip plenty of steps. And I mean plenty, so much that a proof in the book would take 5 lines but when my professor proved it in class it would take him nearly 15. Also while there are tonnes of examples, too many are theoretical and very hard. The book costs a hefty amount of change and is suprisingly small, Author couldl have given few more examples to make it interesting. However the worst thing about this book is how the author leaves important things in with the text often. However most these things are small, and overall the text is a good intro to probability theory.
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