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Credit Risk Management

Pricing, Measurement, and Modeling

  • Jiří Witzany

Table of contents

  1. Front Matter
    Pages i-xi
  2. Jiří Witzany
    Pages 1-3
  3. Jiří Witzany
    Pages 5-18
  4. Jiří Witzany
    Pages 19-116
  5. Jiří Witzany
    Pages 117-157
  6. Jiří Witzany
    Pages 241-242
  7. Back Matter
    Pages 243-256

About this book

Introduction

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.

Keywords

Credit Risk Risk Management Pricing Risk Measurement Banking

Authors and affiliations

  • Jiří Witzany
    • 1
  1. 1.Faculty of Finance and AccountingUniversity of Economics in PraguePragueCzech Republic

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-49800-3
  • Copyright Information Springer International Publishing AG 2017
  • Publisher Name Springer, Cham
  • eBook Packages Economics and Finance
  • Print ISBN 978-3-319-49799-0
  • Online ISBN 978-3-319-49800-3
  • Buy this book on publisher's site