Credit Risk Management: Basic Concepts: Financial Risk Components, Rating Analysis, Models, Economic and Regulatory Capital

Credit Risk Management: Basic Concepts is the first book of a series of three with the objective of providing an overview of all aspects, steps, and issues that should be considered when undertaking credit risk management, including the Basel II Capital Accord, which all major banks must comply with in 2008. The introduction of the recently suggested Basel II Capital Accord has raised many issues and concerns about how to appropriately manage credit risk. Managing credit risk is one of the next big challenges facing financial institutions. The importance and relevance of efficiently managing credit risk is evident from the huge investments that many financial institutions are making in this area, the booming credit industry in emerging economies (e.g. Brazil, China, India, ...), the many events (courses, seminars, workshops, ...) that are being organised on this topic, and the emergence of new academic journals and magazines in the field (e.g. Journal of Credit Risk, Journal of Risk Model Validation, Journal of Risk Management in Financial Institutions, ...). Basic Concepts provides the introduction to the concepts, techniques, and practical examples to guide both young and experienced practitioners and academics in the fascinating, but complex world of risk modelling. Financial risk management, an area of increasing importance with the recent Basel II developments, is discussed in terms of practical business impact and the increasing profitability competition, laying the foundation for books II and III. Contributors to this volume - Dr. Ir. Tony Van Gestel obtained his master and PhD degrees in mathematical engineering at the Katholieke Universiteit Leuven (Belgium) in 1997 and 2002, respectively. He co-authored one book and more than 25 journal papers on quantitative research in leading scientific journals. In 2003, he joined Dexia Group, a major European bank, on the Basel II project to start up Basel II modelling. Currently, he is director of the modelling team in Dexia Group, which was found compliant with the Basel II advanced internal ratings based approach for regulatory bank capital calculations by the year-end 2007. He continued his academic activities, regularly speaks at seminars and conferences and does ad hoc reviewing. Dr. Bart Baesens obtained his master and PhD degrees in Applied Economic Sciences at the Katholieke Universiteit Leuven (Belgium) in 1998 and 2003, respectively. He currently is an assistant professor at the K.U.Leuven, Vlerick Leuven Ghent Management School (Belgium), and a lecturer at the University of Southampton (United Kingdom). He has done extensive research on credit risk management, credit scoring and data mining. His findings have been published in well-known international journals and presented at international top conferences. He regularly tutors, advices and provides consulting support to international financial institutions with respect to their credit risk management and credit scoring policy.