An Introduction to Credit Risk Modeling
Author: Christian Bluhm, Ludger Overbeck, Christoph Wagner
List Price: $69.95
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ISBN: 158488326X
Publisher: CRC Press (27 September, 2002)
Sales Rank: 9,190
Average Customer Rating: 4.5 out of 5
Customer Reviews
Rating: 4 out of 5
Excellent Book For Credit Risk Managers
This is an excellent book covering the latest thinking in credit risk modeling. It could have used more on documentation and structuring risk, so I only gave it four stars, but it is five stars in model review.For more on product descriptions and structuring risk, I highly recommend Tavakoli's "Credit Derivatives" 2nd Edition.
Rating: 5 out of 5
CreditTrader
This is an excellent treatise on the near state-of-the-art in credit risk management. Although the focus is on sell-side risk management, many (if not all) of the techniques described can be used on the buy-side also.This is the first book that really focusses on the portfolio problem of credit risk - many books have touched on vendor-provided models and their shortcomings but Bluhm et al. take it further into the practitioner's world.
The reader does not need a very strong background in math or physics but some understanding of finance and stochastic calculus would help to get the most out of it.
I recommend to everyone who is either in or thinking of getting into credit risk as a career - enjoy....
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