The Standard & Poor's Guide to Measuring and Managing Credit Risk

by Arnaud de Servigny, Olivier Renault

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Product Description

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.

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All Customer Reviews
Average Customer Review: 4.5 out of 5 stars

1 of 6 people found the following review helpful:

5 out of 5 stars

Must have for risk management, 2007-06-29
Yes, this is a must have. Written by S&P auther, it is the definitive guide, no question should be asked. cause they are credit king.

Many details on how to measure risk, quantitative methods in detail. Ideas and industry practice all in great detail. I could imagine some quants will use it as a cook book for their project.

overall, well written for easy read. both good for a glance at credit risk and for in depth learning of industry standard.

8 of 11 people found the following review helpful:

4 out of 5 stars

Most Appropriate for Basel II, 2005-09-08
If you are Banker/Banking Consultant then this book is the closest you will get to understanding Credit Risk from a Basel II perspective. Its clear & lucid style helped me understand the gamut of techniques used in Credit Risk Measurement. Unfortunately the Book does not get into the details of bulinding models so if your looking for a model building cookbook, look elsewhere.

13 of 14 people found the following review helpful:

5 out of 5 stars

a complete, robust and comprehensive valuable resource!, 2004-06-16
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.

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