Frontiers in Credit Risk: Concepts and Techniques for Applied Credit Risk Measurement - Hardcover

Hardcover

ISBN 10: 0471479063 ISBN 13: 9780471479062

Publisher: Wiley, 2003

Synopsis

Credit risk evaluation is as old as commerce itself.  Processes have been refined over centuries based on cumulative experience, judgment and learning.  The rapid development of financial markets however has tested the limits of the traditional approach as highly publicized credit losses and huge non-performing loans across the globe well document.  Distress among many credit professionals and regulators prevails.  This book describes a different and unemotional approach to credit risk evaluation.  Based on abstract and objective credit models, the concept of credit risk measurement is introduced through a range of theoretical and practical perspectives.

From making a case for credit risk measurement as a complement to the more traditional approaches to credit risk management, the book covers validation, applications and new areas of credit risk management.  Contributions by leading academics, practitioners and consultants provide for scholars and credit risk professionals but also less mathematically inclined readers or interested parties, a wide spectrum of ideas and concepts for developing and improving their own viewpoint, processes and approaches.  A demo-CD of one particular model is included for practical testing and playing with applied credit risk measurement concepts.

About this title

About the Author

Gordian Gaeta is a director and founder of a range of consulting and advisory firms as well as private equity investment companies in services and light industries redominantly in Europe and Asia. He specializes in developing and implementing analytical solutions for complex strategic issues in financial services and other industries undergoing significant change or being exposed to intricate risk issues.

Justin Hingorani works with Maple Securities (UK) Ltd. in London developing both bespoke structured credit products for clients and Maple’s internal credit research practice.  Maple is a global financial services company with headquarters in Toronto and offices in London, Jersey City, Frankfurt, Milan and Amsterdam (maplesecurities.com).  Mr. Hingorani was formerly a director of Simplex Credit Advisory in Hong Kong, providing credit risk management technologies and solutions.

Shamez Alibhai works with Barclays Group PLC in London in the Retail Portfolio Management Unit.  Mr. Alibhai is responsible for developing credit risk measurement approaches and risk transfer strategies for the groups’ retail portfolio.  Prior to joining Barclays, he was a director of Simplex Credit Advisory in Hong Kong, providing credit risk management technologies and solutions.

From the Back Cover

"This book provides in-depth analysis and strategic insight into the myriad credit issues facing Chief Risk Officers, Chief Credit Officers and Credit Risk staff at almost all financial institutions today. It offers valuable advice whether you are seeking to structure a CDO, calculate your potential credit exposure in your derivatives portfolio, or seeking to build or validate an internal credit model. Written by leading authors from academia as well as practitioners and backed by timely and relevant examples, the book collectively provides a very impressive source of knowledge for risk practitioners." -- David P. Belmont, Director Group Risk Control, Nexgen Financial Solutions

"Up until now it has been difficult for anyone not involved in credit risk measurement on a day-to-day basis to gain a comprehensive and thorough understanding of the subject. This book helps to fill this gap by providing a understanding of the subject. This book helps to fill this gap by providing a detailed review of the techniques, issues and developments in this area - all presented in an accessible and authoritative manner." -- John Martin, Managing Director,Zurich Risk & Value Advisory Limited

"Gordian Gaeta and his colleagues have assembled an impressive rainbow of perspective on credit risk and how it should be analyzed. There is something for everyone in this collection, and everyone who reads it will come away with some provocative ideas on how to do credit analysis in a more sophisticated way." -- Donald R. van Deventer, President and Chief Executive Officer, Kamakura Corporation

"This is an excellent collection that brings together the finest work from academia, consultants, fund managers and banks on new topics in credit risk measurement. It deserves to be on the shelf of all credit professionals and anyone else interested in the cutting-edge of credit risk measurement." -- Drake Pike, Deputy Head of Credit (Asia), Lehman Brothers

Edition details

• Publisher: Wiley
• Publication date: 2003
• Language: English
• ISBN 10: 0471479063
• ISBN 13: 9780471479062
• Binding: Hardcover
• Edition number: 1
• Number of pages: 500
• Editor: Gaeta Gordian, Alibhai Shamez, Hingorani Justin