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Credit Risk Modelling - Facts, Theory and Applications

By Terry Benzschawel


Credit Risk Modelling gives you a framework to understand how credit risk is measured, priced and managed.

The importance of accurately modelling and managing credit risk is continuously growing, regulatory changes and evolving risk management practices have led to Banks looking a lot more closely at credit risk.

Publish date: 30 May 2012

Availability: In stock

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Credit Risk Modelling - Facts, Theory and Applications
eBook - Credit Risk Modelling - Facts, Theory and Applications

Book description

The author, Terry Benzschawel, succeeds in breaking down credit risk modelling into something that is easy to understand. The book does three main things:

  • Describe data, theory and applications regarding corporations’ and sovereign nations’ likelihoods of default.
  • Explain how the market prices the risk of default and its associated risk premiums.
  • Present methods and examples of how this information can be used to manage the risk of credit portfolios and for trading of corporate bonds and credit default swaps.

By providing an understanding of a previously very confused topic, the book will help interpret the facts of credit in a way that makes sense.  This is done by providing theoretically sound and consistent methods for valuing bonds, loans and credit derivatives that is consistent with the facts of credit defaults and spreads.

This book is a must-read for anyone wishing to understand credit risk from mathematical and intuitive perspectives.  It is a point of reference for all credit risk modelling practitioners.

Book details

Book - 9781906348588 / eBook - 9781908823809
Publish date
30 May 2012
155mm x 235mm

Author biography

Terry Benzschawel

Terry Benzschawel is a Managing Director in Citigroup’s Institutional Clients Business. Terry heads the Portfolio Analysis and Quantitative Strategies group which develops and implements quantitative tools and strategies for credit market trading and risk management, both for Citi’s clients and for in-house applications. His financial career began in 1988 and has centered on modelling the risk and relative value of cash and synthetic debt of consumers, sovereign nations, and corporations. He began in Chase Manhattan Bank’s North American Finance Group, moved to Citibank’s Credit Card Division, and then to Salomon Brothers Fixed Income Arbitrage Group. In 1998 he moved to Citi’s Institutional Clients business, alternating among quant and strategy roles, while focusing on model-based trading, corporate debt, structured products, credit derivatives, and credit portfolio optimization. In addition to writing Credit Risk Modelling in 2012, Terry contributed to our 2003 book Credit Derivatives by Jon Gregory and is well-known in the industry.

Table of contents


SECTION I: Facts, Tools and Theory

Part I: Credit Risk – Facts and Basic Tools

1.      Credit Risk
2.      Rating Agencies, Default Risk and Loss Given Default
3.      Default

Part II: Modelling Credit Risk

4.      Fundamental Analysis
5.      Statistical and Reduced Form Credit Models
6.      Structural and Hybrid Credit Models
7.      Market-Implied Default Models
8.      Models of Loss Given Default
9.      Credit Momentum, Beta and Relative Value

SECTION II: Applications and Advanced Topics

Part I: Portfolio Optimization and Credit Trading Strategies

10.    Estimating Losses on Portfolios
11.    Optimizing Risk and Return on Credit Portfolios
12.    Analysing Portfolio Risk and Relative Value
13.    Structured Credit Products

Part II: Theoretical Issues and Miscellaneous Topics

14.   Discounting Default-Risky Contingent Cash Flows
15.   Cash Flow Model for Credit Default Swaps
16.   Pricing Corporate Loans
17.   Market Liquidity
18.   Cross-Sector Credit Analysis and Portfolio Optimization

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