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

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.

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.