Introduction to Credit Risk Modeling, Second Edition (Chapman and Hall/CRC Financial Mathematics Series)
… this is a concise book for exploring the limitations of credit risk models and, to a lesser degree, asset valuation models. Read this book for a companionable journey through some of the limiting assumptions that make the models tractable. … it may be the first one [book] that wastes no time in getting to the point, and moving on.—Annals of Actuarial Science, Vol. 5, June 2011Bluhm, Overbeck, and Wagner offer help to mathematicians and physicists leaving the academy to work as risk or portfolio managers. For this introduction, they focus on main themes rather than details, and on portfolio rather than single obligor risk. … this second [edition] takes account of problems in the banking industry [from] 2007-09.—SciTech Book News, February 2011Having a valid and up-to-date credit risk model (or models) is one of the most important aspects in today’s risk management. The models require quite a bit of technical as well as practical know-how.Introduction to Credit Risk Modelingserves this purpose well. … it would best fit the practitioner’s needs. For students it can also be of great use, as an introductory course for credit risk models. A great first step into credit risk modeling. … The book provides a nice coherent overview of the methods used in capital allocation. … The book is written in a mixture of theorem-proof and applied styles. … I find this rather pleasing, as it gives the reader the edge of theoretical exposition, which is extremely important. … One really useful side of the book is that it provides step-by-step guide to methods presented. This should be really appreciated in industry and among students. …—MAA Reviews, January 2011Praise for the First EditionThis is an outstanding book on the default models that are used internally by financial institutions. This practical book delves into the mathematics, the assumptions and the approximations that practitioners apply to make these models work.—Glyn A. Holton,Contingency AnalysisThere are so many financial tools available today and numbers are likely to grow in the future. If you work in this field of credit risk modelling it is worth looking at the theoretical background, and this book is a well-rounded introduction.—Journal of the Operational Research SocietyAs an introductory survey it does an admirable job. … this book is an important guide into the field of credit risk models. Mainly for the practitioner … It is well written, fairly easy to follow.—Horst Behncke,Zentralblatt MATH