Synopsis
In this ground-breaking new title, Risk Books unite three prominent editors to provide a much-needed reference text on loss given default (LGD) measurement and management and the requirements of the Basel II Capital Accord. The measurement of LGD – the share of an exposure that is actually lost when a borrower defaults – is a critical area of the science of credit analysis. Topics covered include: • Using multivariate models for the estimation of LGD
• Exploring the links between LGD and default risk
• Providing a Basel II compliant framework for LGD estimation
• Helping you to transform research results into operational tools for setting up Basel II compliant rating systems
• Full accounts of the latest developments in the field of LGD analysis. Also includes a full summary of results of academic research in LGD measurement over the past 10 years, including the latest research findings from the main empirical and theoretical academics.
About the Author
Edward I. Altman is the Max L. Heine professor of finance at the Stern School of Business, New York University, and director of the credit and fixed income research program at the NYU Salomon Center. Edward has an international reputation as an expert on corporate bankruptcy, high yield bonds, distressed debt and credit risk analysis. He was named Laureate 1984 by the Hautes Etudes Commerciales Foundation in Paris for his accumulated works on corporate distress prediction models and procedures for firm financial rehabilitation, and awarded the Graham & Dodd Scroll for 1985 by the Financial Analysts Federation for his work on default rates and high yield corporate debt. Edward is an advisor to many financial institutions including Citigroup, Concordia Advisors, Investcorp and the New York State Common Retirement Fund, and is also on the board of the Franklin Mutual Series Funds. Andrea Resti is an associate professor at Bocconi University, Milan, where he teaches financial institutions management. He is also the managing director of FinMonitor, a research body on bank mergers, sponsored by the University of Bergamo, with some 15 financial institutions. Andrea has acted as a scientific coordinator of a wide array of courses on bank management and risk control themes organised by SDA Bocconi, Finstudi and ABI (Italian Bankers’ Association). He has published in the Journal of Business, Journal of Banking and Finance, and the European Journal of Operational Research. Andrea’s research interests include: credit risk management and measurement; bank strategic management; bank mergers and acquisitions; investment management and private banking; and quantitative efficiency analysis for banks and multi-product organisations. Andrea Sironi is a professor of banking and finance at Bocconi University, where he also holds the position of vice rector for graduate programs and that of director of the research division of the School of Management. Andrea has held visiting positions at the research and statistics department of the Federal Reserve Board of Governors, and at the Salomon Brothers Center (Stern School of Business, NYU). He has previously been a financial analyst at The Chase Manhattan Bank in London. His research work has been mainly in the area of banking supervision and financial risk management and has been published in major international scientific journals.
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