This book provides an integrated treatment of the conceptual,
practical,
and empirical foundations for modeling credit risk. Among our main goals
are the measurement of portfolio risk and the pricing of defaultable bonds,
credit derivatives, and other securities exposed to credit risk. The development
of models of credit risk is an ongoing process within the financial community,
with few established industry standards. In the light of this state of
the art, we discuss a variety of alteative approaches to credit risk modeling
and provide our own assessments of their relative strengths and weaknesses.
and empirical foundations for modeling credit risk. Among our main goals
are the measurement of portfolio risk and the pricing of defaultable bonds,
credit derivatives, and other securities exposed to credit risk. The development
of models of credit risk is an ongoing process within the financial community,
with few established industry standards. In the light of this state of
the art, we discuss a variety of alteative approaches to credit risk modeling
and provide our own assessments of their relative strengths and weaknesses.