Credit Risk: Models & Management [Paperback]by David Shimko
Usually ships within 5 to 7 working days Description of Credit Risk: Models & ManagementBuilding upon the seminal work established in the first best selling edition, this fully revised multi-author reference collection brings you up-to date with a complete and cohesive examination on the latest techniques for credit risk assessment and management* Contains practical and timely information on how to use the newest modelling and measurement tools for managing credit risk with specially commissioned chapters, evaluation and comment from leading practitioners and academics actively involved within the industry * Utilises statistical evidence backed by astute commentary to provide a modern and relevant explanation on all the various elements of credit risk * Subdivided into five main reference sections - each with introductions to illustrate their significance and explain the main points to be discussed - * Risky Bonds in the Portfolio and Market Context * Valuation of Risky Debt * Default Probabilities, Recoveries and Credit Ratings * Structured Credit Products * Practitioners' Tools to Managing Credit Risk * Indispensable to those who are involved or must deal with credit risk at any level People who bought this book also boughtTitle Information
Press and Industry ReviewsA great resource for current credit risk practitioners seeking the latest thinking on credit risk models and management techniques. The clear, concise and easily understood explanations provided in the book, of the relationships between different credit risk methodologies and perspectives, are unique and timely.″Richard Apostolik, President, Global Association of Risk Professionals Write a review of this book About David ShimkoDavid Shimko is Founder and President of Risk Capital Management Partners LLC, and is Senior Lecturer in finance at the Harvard Business School. He consults extensively with senior executives globally in the area of risk-based corporate finance, strategic risk management, credit risk management, risk policy and implementation. He also serves on the Board of Trustees of the Global Association of Risk Professionals and is active in the association.Before founding RCM, David worked with Bankers Trust as Principal and Head of the Risk Management Advisory Group. Prior to Bankers Trust, he was Vice President and Head of Risk Management Research at J.P. Morgan Securities. He also managed Commodity Derivatives Research on J.P. Morgan's trading desk. David was Assistant Professor of Finance at the University of Southern California. He has published over 50 academic and trade articles on strategic issues and the practice of risk management, including the first edition of this text. He has written a technical textbook at the PhD level entitled Finance in Continuous Time: A Primer. He was the end-user columnist in Risk Magazine for 4 years. David completed his PhD in Managerial Economics/Finance from Northwestern University in 1988, and his BA in Economics from Northwestern in 1982. Contents of Credit Risk: Models & ManagementList of contributorsIntroduction David Shimko Section 1: Risky Bonds In The Portfolio and Market Context Introduction David Shimko 1 Defaults and Returns in the High-Yield Bond Market: The Year 2003 in Review and Market Outlook Edward I. Altman, Gonzalo Fanjul 2 Portfolio Credit Risk (I) Thomas C. Wilson 3 Portfolio Credit Risk (II) Thomas C. Wilson Section 2: Valuation of Risky Debt Introduction David Shimko 4 On the Pricing of Corporate Debt: The Risk Structure of Interest Rates Robert C. Merton 5 A Simple Approach to Valuing Risky Fixed and Floating Rate Debt Francis A. Longstaff, Eduardo S. Schwartz 6 Credit Risk Revisited Michel Crouhy; Dan Galai; Robert M. Mark 7 Assessing the Probability of Bankruptcy Stephen A. Hillegeist; Elizabeth K. Keating; Donald P. Cram; Kyle G. Lundstedt Section 3: Default Probabilities, Recoveries and Credit Ratings Introduction David Shimko 8 ZETA Analysis: A New Model to Identify Bankruptcy Risk of Corporations Edward I. Altman; Robert G. Haldeman; P. Narayanan 9 What Do We Know About Loss Given Default? Til Schuermann 10 Performance Evaluation for Credit Spread and Default Risk Models Jorge R. Sobehart, Sean C. Keenan 11 Testing Rating Accuracy Bernd Engelmann, Dirk Tasche Section 4: Structured Credit Products Introduction David Shimko 12 Pricing Derivatives on Financial Securities Subject to Credit Risk Robert A. Jarrow; Stuart M. Turnbull 13 Credit Swap Valuation Darrell Duffie 14 Comparing the Dependence Structure of Equity and Asset Returns Roy Mashal, Marco Naldi, Assaf Zeevi 15 An Introduction to CDO Modelling and Applications Christian Bluhm; Ludger Overbeck Section 5: Practitioners Tools for Managing Credit Risk Introduction David Shimko 16 Credit Risk Modelling and Valuation: An Introduction Kay Giesecke 17 Contributions to Credit Risk Alexandre Kurth; Dirk Tasche 18 Enhancing Credit Performance with Market-Implied Credit Measures and Default Swaps Tim Backshall 19 Practical Usage of Credit Risk Models in Loan Portfolio and Counterparty Exposure Management: An Update Robert A. Jarrow; Donald R. van Deventer 20 A Comparison of Stochastic Default Rate Models Christopher C. Finger |
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