10/20/2011

An Introduction to Credit Risk Modeling (Chapman & Hall/CRC Financial Mathematics Series) Review

An Introduction to Credit Risk Modeling (Chapman and Hall/CRC Financial Mathematics Series)
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This is an excellent treatise on the near state-of-the-art in credit risk management. Although the focus is on sell-side risk management, many (if not all) of the techniques described can be used on the buy-side also.
This is the first book that really focusses on the portfolio problem of credit risk - many books have touched on vendor-provided models and their shortcomings but Bluhm et al. take it further into the practitioner's world.
The reader does not need a very strong background in math or physics but some understanding of finance and stochastic calculus would help to get the most out of it.
I recommend to everyone who is either in or thinking of getting into credit risk as a career - enjoy....

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In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques. An Introduction to Credit Risk Modeling supplies both the bricks and the mortar of risk management. In a gentle and concise lecture-note style, it introduces the fundamentals of credit risk management, provides a broad treatment of the related modeling theory and methods, and explores their application to credit portfolio securitization, credit risk in a trading portfolio, and credit derivatives risk. The presentation is thorough but refreshingly accessible, foregoing unnecessary technical details yet remaining mathematically precise.Whether you are a risk manager looking for a more quantitative approach to credit risk or you are planning a move from the academic arena to a career in professional credit risk management, An Introduction to Credit Risk Modeling is the book you've been looking for. It will bring you quickly up to speed with information needed to resolve the questions and quandaries encountered in practice.

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