Credit risk has always been a major concern to financial institutions, in particular to investment and retail banks. In the past this was handled by specialised departments which assigned credit limits to different parties. At a time when financial instruments are becoming increasingly sophisticated and when derivative products (more than 50% of which are over the counter products) are widely used, such techniques for the control of credit risk are no longer adequate. Credit risk has become an issue of major concern at the highest level of management that requires sophisticated management techniques. This book outlines cutting-edge developments in the theory and practice of the rapidly changing area of credit risk pricing and management. It provides detailed technical information on the mathematical modelling of credit risk.
Book Details:
- Author: Didier Cossin
- ISBN: 9780470309346
- Year Published: 2001
- Pages: 372
- BISAC: BUS027000, BUSINESS & ECONOMICS/Finance
About the Book and Topic:
Credit risk has always been a major concern to financial institutions, in particular to investment and retail banks. In the past this was handled by specialised departments which assigned credit limits to different parties. At a time when financial instruments are becoming increasingly sophisticated and when derivative products (more than 50% of which are over the counter products) are widely used, such techniques for the control of credit risk are no longer adequate. Credit risk has become an issue of major concern at the highest level of management that requires sophisticated management techniques. This book outlines cutting-edge developments in the theory and practice of the rapidly changing area of credit risk pricing and management. It provides detailed technical information on the mathematical modelling of credit risk.
This book will address a major area of current interest, providing detailed technical information on the modelling of credit risk. The authors are highly respected and have an in-depth knowledge of this area. It should become a classic publication.
The book includes detailed technical information on the mathematical modeling of credit risk as well as topical coverage of bankruptcy formulas, traditional actuarial models, stochastic interest rates and credit risk, and a portfolio-based approach to credit risk. * Glossary and description of main methodologies.
About the Author
DIDIER COSSIN is Professor of Finance at HEC, Lausanne and Adjunct Professor at The International Institute of Management Development (IMD), Lausanne. He has previously taught at Harvard University (where he won two Derek Bok Awards for excellence in teaching) and was a Fulbright Fellow at the Massachusetts Institute of Technology. He holds a PhD from Harvard University and has also studied at Ecole Normale Superieure (ENS) and Sorbonne University. Didier Cossin’s professional experience includes: Goldman Sachs in London, Associes en Finance in Paris and Roussel Uclaf in Japan. He writes and referees for a number of leading journals and has presented papers at many major international conferences. Professor Cossin has also been a consultant or executive teacher to a large number of banks and corporations. HUGUES PIROTTE is Financial Engineer and co-founder of FinMetrics, a company specialising in consultancy and training in financial risk management, performance measurement and valuation. He holds a PhD from HEC, University of Lausanne, for which he completed a thesis on credit risk, as well as degrees in Banking and Finance and in Business Administration. Hugues Pirotte also lectures at: HEC-University of Lausanne (The Institute of Banking and Financial Management), the University of Geneva, and at Thunderbird, American Graduate School of International Managament (Geneva). He has published papers in a number of leading journals and presented at international conferences.