Description

Book Synopsis

Contains Nearly 100 Pages of New Material

The recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model credit portfolios, Introduction to Credit Risk Modeling, Second Edition presents updates on model developments that have occurred since the publication of the best-selling first edition.

New to the Second Edition

  • An expanded section on techniques for the generation of loss distributions
  • Introductory sections on new topics, such as spectral risk measures, an axiomatic approach to capital allocation, and nonhomogeneous Markov chains
  • Updated sections on the probability of default, exposure-at-default, loss-given-default, and regulatory capital
  • A new section on multi-period models
  • Recent devel

Introduction to Credit Risk Modeling

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    A Paperback by Christian Bluhm

    £45.99

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    Order before 4pm tomorrow for delivery by Thu 3 Sep 2026.

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      Book details

      Publisher CRC Press
      Published 10/14/2024
      ISBN-13 9781032920795
      978-1032920795
      ISBN-10 1032920793
      Also in:
      Business, Finance & Law Econometrics and economic statistics

      Description

      Book Synopsis

      Contains Nearly 100 Pages of New Material

      The recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model credit portfolios, Introduction to Credit Risk Modeling, Second Edition presents updates on model developments that have occurred since the publication of the best-selling first edition.

      New to the Second Edition

      • An expanded section on techniques for the generation of loss distributions
      • Introductory sections on new topics, such as spectral risk measures, an axiomatic approach to capital allocation, and nonhomogeneous Markov chains
      • Updated sections on the probability of default, exposure-at-default, loss-given-default, and regulatory capital
      • A new section on multi-period models
      • Recent devel

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