Advanced Credit Risk Analysis : Financial Approaches and Mathematical Models to Assess, Price, and Manage Credit Risk

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. 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. 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.