Overview
- Introduces to classical and modern credit risk management
- Illustrates Basel II and III credit risk requirements to help readers understand the complex set of regulatory documents
- Describes new credit risk modeling methods like Support Vector Machines and concepts such as Credit Valuation Adjustment
- Offers a practical guide and a case study for the development of individual credit scoring functions
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Table of contents (7 chapters)
Keywords
About this book
This book introduces to basic and advanced methods for credit risk management. It covers classical debt instruments and modern financial markets products. The author describes not only standard rating and scoring methods like Classification Trees or Logistic Regression, but also less known models that are subject of ongoing research, like e.g. Support Vector Machines, Neural Networks, or Fuzzy Inference Systems. The book also illustrates financial and commodity markets and analyzes the principles of advanced credit risk modeling techniques and credit derivatives pricing methods. Particular attention is given to the challenges of counterparty risk management, Credit Valuation Adjustment (CVA) and the related regulatory Basel III requirements. As a conclusion, the book provides the reader with all the essential aspects of classical and modern credit risk management and modeling.
Authors and Affiliations
About the author
Education: Faculty of Mathematics and Physics, Charles University; Pennsylvania State University, Ph.D. in Mathematics. Work experience: 1996-2006 Komerční banka, a.s. – modern market risk management system development (implementation of the dealing system Trema, the Middle Office function and Management Information System for financial markets trading). 2000 – 2006 Director of The Credit Risk Management Division (scoring functions development, credit risk reporting and data management, implementation of Basel II, real estate valuation); 2006 – 2009 Senior Consultant CRA System (Nielsen Admosphere, a.s.). Since 2009 co-founder and managing director of Quantitative Consulting s.r.o. Academic activities: Lecturer at Pennsylvania State University and University of California in Los Angeles in the past; Associate Professor at Faculty of Mathematics and Physics at Charles University and at Faculty of Finance and Accounting of the University of Economics in Prague (Full Professor since 2016); Guarantor of the Financial Engineering Master degree program.
Bibliographic Information
Book Title: Credit Risk Management
Book Subtitle: Pricing, Measurement, and Modeling
Authors: Jiří Witzany
DOI: https://doi.org/10.1007/978-3-319-49800-3
Publisher: Springer Cham
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: Springer International Publishing AG 2017
Hardcover ISBN: 978-3-319-49799-0Published: 06 March 2017
Softcover ISBN: 978-3-319-84244-8Published: 20 July 2018
eBook ISBN: 978-3-319-49800-3Published: 24 February 2017
Edition Number: 1
Number of Pages: XVI, 256
Number of Illustrations: 22 b/w illustrations, 65 illustrations in colour
Topics: Banking, Business Finance, Risk Management, Financial Engineering, Quantitative Finance