| Title | Credit Risk: Models, Derivatives, and Management |
| Author(s) | Niklas Wagner |
| Publisher | CRC Press |
| Year | 2008 |
| Edition | 1st edition |
| Language | English |
| Pages | 574 pages |
| ISBN | 9781584889953 |
| Genre / Domain | Finance, Risk Management, Quantitative Finance |
| Series | Chapman & Hall/CRC Financial Mathematics Series |
| Size | 6.6 MB |
| Extension |
Summary
"Credit Risk: Models, Derivatives, and Management" is a comprehensive and authoritative volume that explores the multifaceted nature of credit risk in modern financial markets. Edited by Niklas Wagner and published by CRC Press in 2008, this book brings together contributions from leading academics and practitioners to provide a thorough examination of the field . It covers a wide spectrum of topics, from the theoretical foundations of credit risk modeling to the practical applications of credit derivatives and risk management strategies . The book is structured to serve as both a reference for professionals and a textbook for graduate students in finance and quantitative disciplines.
The volume delves into the major modeling approaches for credit risk, including structural models, which link default to the firm's asset value, and reduced-form models, which treat default as an exogenous event driven by a default intensity . It also explores credit derivatives, such as credit default swaps (CDS) and collateralized debt obligations (CDOs), explaining their valuation, uses, and the role they played in the financial markets . The book addresses the management of credit risk portfolios, discussing techniques for diversification, hedging, and the measurement of credit value-at-risk. It also examines regulatory frameworks and their impact on credit risk management practices.
For practitioners, this book offers valuable insights into the practical implementation of credit risk models and the use of derivatives for risk transfer and mitigation. It provides detailed examples and case studies that illustrate how theoretical concepts are applied in real-world scenarios . The contributions from various experts ensure that readers gain a diverse range of perspectives on the challenges and solutions in credit risk management. This makes the book an essential tool for risk managers, financial engineers, and portfolio managers seeking to enhance their understanding and effectiveness in managing credit risk.
The primary audience for this book includes financial professionals, risk managers, researchers, and graduate students in finance, economics, and applied mathematics. It is particularly relevant for those working in banking, investment management, and regulatory bodies who need a deep understanding of credit risk . The advanced nature of the content assumes a solid foundation in financial theory and quantitative methods, making it most suitable for readers with prior knowledge in these areas.
Published by CRC Press as part of the Chapman & Hall/CRC Financial Mathematics Series, this volume has established a strong reputation for its rigorous and comprehensive treatment of credit risk . Its inclusion of both theoretical and practical perspectives, along with contributions from renowned experts, ensures it remains a valuable resource for anyone serious about understanding and managing credit risk in today's complex financial environment.
Key Features
- Provides a comprehensive overview of credit risk modeling, derivatives, and management .
- Covers both structural and reduced-form models for credit risk assessment .
- Explores credit derivatives including credit default swaps and collateralized debt obligations .
- Addresses portfolio management techniques for credit risk diversification and hedging .
- Includes contributions from leading academics and practitioners in the field .
- Features detailed examples and case studies illustrating practical applications .
- Discusses regulatory frameworks and their impact on credit risk management .
- Published by CRC Press in the Chapman & Hall/CRC Financial Mathematics Series .
- Serves as both a reference for professionals and a textbook for graduate students .
- Published in 2008, reflecting the state of the field at a critical time in financial markets .
About Author
Niklas Wagner is a professor of finance and holds the Chair of Financial Control and Risk Management at Passau University in Germany. He is an expert in the fields of financial risk management, credit risk, and quantitative finance. His research interests include credit risk modeling, asset pricing, and the econometrics of financial markets. He has published extensively in leading academic journals and is a sought-after speaker at international conferences.
Wagner has edited several books on credit risk and financial markets, contributing significantly to the dissemination of knowledge in these areas. His work as an editor for this volume has brought together a diverse range of expert voices, creating a comprehensive resource that reflects the cutting-edge developments in credit risk management. His academic and professional background ensures that the book is both theoretically rigorous and practically relevant.
Related Books
- Credit Risk Modeling: Theory and Applications — David Lando
- Credit Risk: Pricing, Measurement, and Management — Darrell Duffie and Kenneth J. Singleton
- Measuring and Managing Credit Risk — Arnaud de Servigny and Olivier Renault
- Credit Derivatives: A Primer on Credit Risk, Modeling, and Instruments — George Chacko et al.
- Structured Credit Products: Pricing, Rating, Risk Management and Basel II — Vikas Agarwal and Markus Krebsz
- Credit Risk Management: Basic Concepts — Tony Van Gestel and Bart Baesens
- The Handbook of Credit Portfolio Management — Greg M. Gupton et al.
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FAQ
Q : Who is the editor of this book?
R : The book is edited by Niklas Wagner, a professor of finance and expert in credit risk and quantitative finance .
Q : What is the main focus of "Credit Risk"?
R : It provides a comprehensive overview of credit risk modeling, derivatives, and management, covering both theoretical foundations and practical applications .
Q : What are some of the key topics covered in the book?
R : Topics include structural and reduced-form models, credit default swaps, collateralized debt obligations, portfolio management, and regulatory frameworks .
Q : Who is the target audience for this book?
R : Financial professionals, risk managers, researchers, and graduate students in finance, economics, and applied mathematics .
Q : What is the ISBN of the book?
R : The ISBN is 9781584889953.
Q : What series is this book part of?
R : It is part of the Chapman & Hall/CRC Financial Mathematics Series .
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