Credit Risk Modelling: The Cutting-edge Collection - Technical Papers published in Risk 1999-2003 - Hardcover

Gordy, Michael

9781904339083: Credit Risk Modelling: The Cutting-edge Collection - Technical Papers published in Risk 1999-2003

Hardcover

ISBN 10: 1904339085 ISBN 13: 9781904339083

Publisher: Risk Books, 2003

A unique volume that brings together the most innovative and instrumental papers on credit risk modelling to reflect the major developments to date. This volume also focuses on the influences that are currently shaping the industry.

Designed in order for readers to easily familiarise themselves with all the leading authorities, ideas and techniques used in today's business.

The papers are subdivided into easy-reference sections that include credit portfolio modelling and measurement, credit derivatives, default models and prediction, and credit risk modelling in relation to Basel II. Introduced by Michael Gordy, who illustrates the significance that each chapter has on modern credit practice. Allows the reader to compare and contrast two different philosophies in credit risk modelling - "structural models" and "reduced-form models". Covers the statistical and financial tools that lie behind credit risk theory and management in addition to offering a comprehensive treatment of the pricing of credit derivatives, including credit swaps and CDOs. Includes detailed analysis on the basic parameters that dominate credit risk modelling, such as default probabilities, credit ratings, rating transitions and recovery rates.

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About the Author:

Michael Gordy is a senior economist in the research and statistics division of the Federal Reserve Board. His current research focuses on the design, calibration, computation and validation of models of portfolio credit risk, and on the adaptation of these models to setting regulatory capital requirements. Michael received his PhD in economics from MIT in 1994 and a BA in mathematics and philosophy from Yale University in 1985.

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