Credit
Our Credit section contains a selection of titles covering credit risk, credit derivatives, Basel III and more.
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Edited By Joseph Breeden
A more timely book could not be written - Reinventing Retail Lending Analytics walks through the various issues of retail lending and develops approaches to address the interaction between economic cycles and retail lending. The complexity of time is extensively explored: vintages, current time and maturity. The book covers complex issues such as scenario based forecasting, stress testing, volatility analysis, economic capital and portfolio optimisation, credit scoring and last, but not least, model risk.
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Edited By Lampros Kalyvas, Ioannis Akkizidis et al
Covering the three major sources of risk this book gives an excellent overview of the exact methodological steps needed for you to evaluate and manage market, credit and operational risks arising from banking activities. It moves on to reveal the strengths and weaknesses of Basel II and explains ways for you to integrate these sources of financial risk into this regulatory framework.
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Edited By Michael K. Ong
A practical, accessible step-by-step analysis of the theory and practicalities of credit risk measurement and management.
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Edited By Arthur M. Berd
Lessons from the Financial Crisis is an essential and comprehensive resource for market participants, researchers, regulators, academics and governments worldwide.
Containing both academic analysis and practical insights from renowned researchers and leading authorities such as John Hull and Stuart Turnbull, all aspects of the crisis which has defined a generation will be rigorously examined.
“This book has an extraordinary range of well organized chapters from highly distinguished financial academics and practitioners. Given the poor historical record of learning “lessons” from financial crises, this book provides an invaluable opportunity to gain multiple important perspectives from people in a position to share substantial wisdom that should not be missed.”
Bennett W. Golub, Chief Risk Officer, BlackRock, Inc.
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Edited By Daniel Rösch and Harald Scheule
Over the past decade the financial service industry has spent tremendous resources on building models to measure financial risks. Generally, these models’ predictions were used without acknowledging that reality may or may not reflect the assumptions made and thus the predictions. The book aims to provide solutions on how to include model risk into existing risk measurement frameworks. It also aims to provide solutions on how to build models of higher accuracy and thus lower model risk.
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Edited By Daniel Rösch and Harald Scheule
Stress Testing for Financial Institutions will provide you with guidance in regard to the stress testing process and includes several chapters on scenario analysis written by practitioners at Citigroup, Swedbank, GE Capital and the Bank of Finland.
This is the only book currently on the market that focuses solely on this subject, with sections broken down into close examination of stress testing in the context of corporate and retail credit risk, economic capital and regulatory capital.
This book is essential for financial risk quants, financial risk managers, financial risk researchers and financial institution regulators.
Stress Testing for Financial Institutions examines the regulatory and economic needs of banks and insurance companies and focuses on practical advice and solutions to everyday problems.
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Edited By Edward Altman and Andrea Resti and Andrea Sironi
In this ground-breaking title, Risk Books brings together three prominent editors to provide a timely reference text on loss given default (LGD) measurement and management and the requirements of the Basel II Capital Accord.
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Edited By Klaus Böcker
The 2007-9 crisis highlighted the dangers of dependence on risk quantification and the importance of taking measurement uncertainty into account. Today, risk managers recognise the need to rethink the way they measure and control risk, and how their findings inform decision-making. Rethinking Risk Measurement and Reporting (Volumes I and II) speaks to these needs, providing the techniques and tools for a more effective risk management framework.
Please note when purchasing Volume I and Volume II separately the price will be £145 each, in order to get both volumes for £195 please click here
“...definitely a must-read for those looking for new ideas to revive the dented axioms of risk management.”
Andrea Resti, Bocconi University
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Edited By Klaus Böcker
The 2007-9 crisis highlighted the dangers of dependence on risk quantification and the importance of taking measurement uncertainty into account. Today, risk managers recognise the need to rethink the way they measure and control risk, and how their findings inform decision-making. Rethinking Risk Measurement and Reporting (volumes 1 and 2) speaks to these needs, providing the techniques and tools for a more effective risk management framework.
Please note when purchasing Volume I and Volume II separately the price will be £145 each, in order to get both volumes for £195 please click here.
“...This book brings together the best researchers into how these deep ideas can benefit financial risk management.”
David Spiegelhalter, Winton Professor of the Public Understanding of Risk, University of Cambridge
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Edited By Klaus Böcker
Rethinking Risk Measurement and Reporting aims to increase the readers’ awareness of model and parameter uncertainty when using mathematical models in financial risk management. This book, which is being published in two volumes, helps the reader to discern that model uncertainty must be accepted as an intrinsic part of risk measurement.
Buy both volumes here for the reduced price of £195 (£290 if bought seperately)
Click here to view Volume I
(ISBN 978-1-906348-40-3)
Click here to view Volume II
(ISBN 978-1-906348-50-2)
“...Risk managers from academia to practice will highly welcome this volume.”
Paul Embrechts, Director of RiskLab, ETH Zurich.
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Edited By Francesco Cannata and Mario Quagliariello
Around the world, central bankers, regulators and governments have responded to the financial crisis with new regulation and legislation. The cornerstone of this global initiative to contain risk is Basel III – sweeping new regulatory standards for banks on capital adequacy and liquidity.
These new standards will define markets and their practices for decades to come. Already, they are reshaping institutions, business models and balance sheets.
Understanding Basel III and the thinking behind it is essential for market participants and for those charged with implementing the standards. In Basel III and Beyond, the first book-length treatment of Basel III, editors Mario Quagliariello of the European Banking Authority and Francesco Cannata of the Bank of Italy have assembled contributors from regulators and central banks involved in preparing the standards including a foreword from Mario Draghi, President of the European Central Bank.
Key chapters describe and analyse the new elements of Basel III, as well as detailing important revisions to the 2004 accord. Written by the regulators themselves, Basel III and Beyond is the essential guide to the new global banking standards.
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Edited By Eduardo Canabarro
This book is a collection of analyses of methods and practices used to manage OTC derivative counterparty risk and their performance during the 2007-8 financial crisis. It covers the areas of counterparty risk measurement, pricing (CVA), hedging, collateralization, stress testing, back testing and integration into economic capital frameworks. Various new ideas, directions and models are discussed by a group of seasoned experts. The content of the book is even more relevant in light of the recent proposals of the Basel Committee of Banking Supervision for the changes in the regulatory capital on counterparty risks.
