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The Standard & Poor's Guide to Measuring and Managing Credit Risk, by Arnaud de Servigny, Olivier Renault
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Today's most complete, up-to-date reference for controlling credit risk exposure of all types, in every environment
Measuring and Managing Credit Risk takes you far beyond the Basel guidelines to detail a powerful, proven program for understanding and controlling your firm’s credit risk. Providing hands-on answers on practical topics from capital management to correlations, and supporting its theories with up-to-the-minute data and insights, this authoritative book examines every key aspect of credit risk, including:
- Determinants of credit risk and pricing/spread implications
- Quantitative models for moving beyond Altman’s Z score to separate “good” borrowers from “bad”
- Key determinants of loss given default, and potential links between recovery rates and probabilities of default
- Measures of dependency including linear correlation, and the impact of correlation on portfolio losses
- A detailed review of five of today’s most popular portfolio models―CreditMetrics, CreditPortfolioView, Portfolio Risk Tracker, CreditRisk+, and Portfolio Manager
- How credit risk is reflected in the prices and yields of individual securities
- How derivatives and securitization instruments can be used to transfer and repackage credit risk
Today’s credit risk measurement and management tools and techniques provide organizations with dramatically improved strength and flexibility, not only in mitigating risk but also in improving overall financial performance. Measuring and Managing Credit Risk introduces and explores each of these tools, along with the rapidly evolving global credit environment, to provide bankers and other financial decision-makers with the know-how to avoid excessive credit risk where possible―and mitigate it when necessary.
- Sales Rank: #344865 in Books
- Published on: 2004-05-05
- Original language: English
- Number of items: 1
- Dimensions: 9.10" h x 1.55" w x 6.30" l, 1.78 pounds
- Binding: Hardcover
- 388 pages
From the Back Cover
State-of-the-art tools and techniques for controlling credit risk exposure of all types, in every environment
The oldest risk in world financial markets--credit risk--has become a leading source of problems and confusion, not just for bankers and investors but for all finance professionals. The Standard & Poor's Guide to Measuring and Managing Credit Risk will help you understand every aspect of credit risk, and provide you with today's most up-to-date techniques and models for identifying, measuring, monitoring, and controlling your organization's credit risk exposure.
Praise for The Standard & Poor's Guide to Measuring and Managing Credit Risk:
"de Servigny and Renault have written a valuable reference book on the analytics of credit markets.� Theory and data are integrated seamlessly throughout the manuscript.� The mathematical treatment is complete, though not overbearing. The economics, pricing, structuring and capital allocation aspects are artfully combined into a coherent whole."
--Jamil Baz, Global Head of Fixed Income Research, Deutsche Bank
"This is much more than just a 'how to' book--it is analytically complete in that it looks at the microeconomics of industry structure to understand why credit risks have to be measured and monitored as well as being comprehensive in covering all the different approaches used to monitor and measure credit risk."
--Bunt Ghosh, Global Head of Fixed Income Research, Credit Suisse First Boston
"This extensive work, really clear while dealing with sophisticated methodologies, is right in the heart of today's concerns."
--Jean-Pierre Mustier, CEO, SG Corporate and Investment Banking
"de Servigny and Renault provide a comprehensive treatment of all aspects of modern credit risk measurement, management, and mitigation, not only for large corporations but also for retail and small business (with an excellent chapter on credit scoring). This book is an absolute must for both academics and risk professionals, especially those struggling with the implementation of Basel II."
--Michel Crouhy, Head of Business Analytic Solutions, Canadian Imperial Bank of Commerce
Fast-changing regulations, transformative technologies, and today's go-for-broke business mentality present investment banks and other lenders with default problems that are both unprecedented and daunting. To keep pace with this change, finance professionals are finding they must continually review and upgrade their credit risk management tools and techniques.
The Standard & Poor's Guide to Measuring and Managing Credit Risk takes you far beyond the Basel guidelines to detail a powerful, proven program for understanding and controlling your firm's credit risk. Providing hands-on answers on practical topics from capital management to correlations, and supporting its theories with discerning data and insights, this authoritative book examines every key aspect of credit risk, including:
- Determinants of credit risk and pricing/spread implications
- Quantitative models for moving beyond Altman's Z score to separate "good" borrowers from "bad"
- Key determinants of loss given default, and potential links between recovery rates and probabilities of default
- Measures of dependency including linear correlation, and the impact of correlation on portfolio losses
- A detailed review of five of today's most popular portfolio models--CreditMetrics, CreditPortfolioView, Portfolio Risk Tracker, CreditRisk+, and Portfolio Manager
- How credit risk is reflected in the prices and yields of individual securities
- How derivatives and securitization instruments can be used to transfer and repackage credit risk
Today's credit risk measurement and management tools and techniques provide organizations with dramatically improved strength and flexibility, not only in mitigating risk but also in improving overall financial performance. The Standard & Poor's Guide to Measuring and Managing Credit Risk introduces and explores each of these tools, along with the rapidly evolving global credit environment, to provide bankers and other financial decision-makers with the know-how to avoid excessive credit risk where possible--and mitigate it when necessary.
About the Author
Arnaud de Servigny, Ph.D., is the head of Quantitative Analytics for Standard & Poor's. A popular speaker at conferences and seminars throughout Europe, de Servigny is the author of a number of books and articles on finance and credit risk.
Olivier Renault, Ph.D., works in portfolio modeling in the quantitative analytics and products team for Standard & Poor's Risk Solutions. Prior to joining Standard and Poor's, Olivier was a lecturer on finance at the London School of Economics where he taught derivatives and risk.
Most helpful customer reviews
4 of 4 people found the following review helpful.
Much more details desired
By cq
Only read chapter 3 "Default Risk: Quantitative Methodologies" as part of FRM curriculum - so the comments below are only limited to that.
The text was not clearly written. The x-axis ans y-axis of many charts are left for readers to guess themselves. Some typos make it confusing. The book is not for you if you want to understand the details and start following some of these quantitative methods. May have some value for a survey of the area of credit risk measurement and management.
17 of 19 people found the following review helpful.
a complete, robust and comprehensive valuable resource!
By A Customer
In Measuring and Managing Credit Risk, the authors provided a robust, complete and comprehensive treatment of several aspects of modern credit risk measurement and management. Written by two high talented practitioners, this book will become certainly a reference both for academics and practitioners thanks to its careful treatment of several not so known empirical issues which practitioners have to face everyday. At the same time, do not consider the book as a new recipes book for managing credit risk. Both authors already proved their deep knowledges of financial theory and establish once again, through this book, how advanced knowledges of theory combined with significant practical experience make leading researches. As a PhD candidate in Finance, actually writing on credit risk, I definitively adopted this book and higly recommend it for anyone dealing with credit risk issues either through a practical experience or through a theoritical work.
1 of 1 people found the following review helpful.
Very good book on credit risk
By George
It is a very thorough yet not overloading book. It is more about the essence of credit risk rather than about regulation Although there is a part on regulation, some parts of it are outdated as it supposed to be - regulation is changing. The essence stays the same.
Authors achieved a very good balance between mathematical and descriptive parts. Some heavy math is put in Appendices, which makes it really easy to read the book while choosing where you want to go into depth.
Summaries and side-by-side comparisons of different models are just wonderful.
Correlations issues are properly addressed.
This book was and is a great help to me.
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