Credit-Risk Modelling

Theoretical Foundations, Diagnostic Tools, Practical Examples, and Numerical Recipes in Python
Softcover Nachdruck of the original 1. Auflage 2018
ISBN: 978-3-030-06900-1
Verlag: Springer International Publishing

Buch, Englisch, 684 Seiten, Previously published in hardcover, Format (B × H): 155 mm x 235 mm, Gewicht: 1072 g

Demonstrates a broad range of state-of-the-art credit-risk models and underscores their interlinkages

Includes extensive Python code to bring the models, diagnostic tools, and estimation of key inputs parameters to life

Combination of mathematical foundations and practical Python code implementation enriches the reader’s understanding and competence in this important field

Zielgruppe

Professional/practitioner

Autoren/Hrsg.

Bolder, David Jamieson

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik
• Wirtschaftswissenschaften Betriebswirtschaft Management Risikomanagement
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines

Inhaltsverzeichnis

Getting Started.- Part I Modelling Frameworks.- A Natural First Step.-Mixture or Actuarial Models.- Threshold Models.-The Genesis of Credit-Risk Modelling.- Part II Diagnostic Tools.- A Regulatory Perspective.- Risk Attribution.- Monte Carlo Methods.- Part III Parameter Estimation.- Default Probabilities.- Default and Asset Correlation.

Über Autor(innen)

David Jamieson Bolder is currently head of the World Bank Group’s (WBG) model-risk function. Prior to this appointment, he provided analytic support to the Bank for International Settlements’ (BIS) treasury and asset-management functions and worked in quantitative roles at the Bank of Canada, the World Bank Treasury, and the European Bank for Reconstruction and Development. He has authored numerous papers, articles, and chapters in books on financial modelling, stochastic simulation, and optimization. He has also published a comprehensive book on fixed-income portfolio analytics. His career has focused on the application of mathematical techniques towards informing decision-making in the areas of sovereign-debt, pension-fund, portfolio-risk, and foreign-reserve management.