While continuing to focus on common mathematical approaches to model credit portfolios, this second edition presents updates on model developments that have occurred since the publication of the best-selling first edition. It contains a new section on multi-period models and discusses recent developments in structured credit. Along with many worked out examples and numerical results, this edition also includes an expanded section on techniques for the generation of loss distributions as well as discussions of new topics, such as spectral risk measures, an axiomatic approach to capital allocation, and nonhomogeneous Markov chains.
• Chapman & Hall/CRC Financial Mathematics Series
Statistics
Finance
Financial Mathematics
Reference
Undergraduate

In a concise lecture-note style, An Introduction to Credit Risk Modeling introduces the fundamentals of credit risk management, provides a full treatment of the related modeling theory and methods, and explores important applications, such as credit portfolio securitization. The presentation is thorough but accessible, foregoing unnecessary technical details yet remaining mathematically precise. Designed for risk managers looking for a quantitative approach to credit risk and for quantitative specialists moving from the academic to professional financial arenas, this book brings readers quickly up to speed with information needed to resolve the questions and quandaries encountered in practice.
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Statistics
Finance
Financial Mathematics
Textbook
Undergraduate