In the last decade rating-based models have become very popular in credit risk management. These systems use the rating of a company as the decisive variable to

Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an u

Contains Nearly 100 Pages of New MaterialThe recent financial crisis has shown that credit risk in particular and finance in general remain important fields for

This book provides a thorough analysis of internal rating systems. Two case studies are devoted to building and validating statistical-based models for borrower

The most cutting-edge read on the pricing, modeling, and management of credit risk available The rise of credit risk measurement and the credit derivatives mark