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Advanced Credit Risk Analysis: Financial Approaches and Mathematical Models to Assess, Price, and Manage Credit Risk

Author

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  • Hugues Pirotte
  • Didier Cossin

Abstract

Advanced Credit Analysis presents the latest and most advanced modelling techniques in the theory and practice of credit risk pricing and management.The book stresses the logic of theoretical models from the structural and the reduced-form kind, their applications and extensions. It shows the mathematical models that help determine optimal collateralisation and marking-to-market policies. It looks at modern credit risk management tools and the current structuring techniques available with credit derivatives.

Suggested Citation

  • Hugues Pirotte & Didier Cossin, 2000. "Advanced Credit Risk Analysis: Financial Approaches and Mathematical Models to Assess, Price, and Manage Credit Risk," ULB Institutional Repository 2013/191833, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/191833
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    Cited by:

    1. Tien Foo Sing & Seow Eng Ong & Gang-Zhi Fan & Kian Guan Lim, 2005. "Pricing Credit Risk Of Asset-Backed Securitization Bonds In Singapore," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 321-338.
    2. Gang-Zhi Fan & Tien Sing & Seow Ong, 2012. "Default Clustering Risks in Commercial Mortgage-Backed Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 110-127, June.
    3. Gumersindo Ruiz & Ramón Trías, 2011. "Financial Crisis and Risk Measurement: The Historical Perspective and a New Methodology," Chapters, in: Óscar Dejuán & Eladio Febrero & Maria Cristina Marcuzzo (ed.), The First Great Recession of the 21st Century, chapter 4, Edward Elgar Publishing.
    4. Vilimir Yordanov, 2012. "The Bulgarian Foreign and Domestic Debt ??? A No-Arbitrage Macrofinancial View," William Davidson Institute Working Papers Series wp1032, William Davidson Institute at the University of Michigan.

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