CREDIT RISK MODELLING KEATING C. Bankowa.pl

Credit Risk Modelling is a practitioner's guide to the theory and practice of credit risk management at instrument and portfolio levels. It analyses the techniques for the modelling, evaluation and management of credit exposures and their associated risk. Credit scoring, financial statement analysis, game theoretic, and hazard rate and options-based techniques are covered, as well as structured products and credit derivatives. The book includes advanced techniques that extend the standard mean-variance framework of modern finance in the search for greater realism and pricing accuracy.

Table of Contents
Introduction
Credit Exposure - Derivatives, Guarantees, Insurance
Credit Analysis - Financial Statement Analysis, Asset Values and Cash Flows
Structures in Bonds - Covenants, FAA/Trustee, Default and Enforcement
The Simple Pricing of Credit - Merton, Duration and Convexity
Reduced Form and Structural Models
Portfolio Aggregation - Indices, Measures of Dependence, Barbell
Regulation - Basel, Mitigation Techniques
Classification - From LDA to ANN, Econometric Models, Spectral Analysis
Asset Backed - CDOs
Pricing and Simulation - MC, Gamma, dGamma Methods, Downside Measures
The Macro and Micro Economics of Credit
Spreads and Opportunities - The Econometrics Studies
The Way Forward - Endogeneity

About Author

CON KEATING is a member of the Société Universitaire Européene pour Recherche en Finance, a member of the Steering Committee of the Financial Econometrics Research Centre at Cass Business School (formerly City University Business School) and former Chairman of the Committee on Methods and Measures of The European Federation of Financial Analysts' Societies. His career spans over thirty years of practical experience in fund management, insurance, and commercial and investment banking.

1000 pages

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