Credit Risk Models and the Basel Accords
Kenji Imai Donald R. Van Deventer
| Price: $ 95
How to manage credit risk through the understanding and implementation of the Merton credit model
In this invaluable resource, credit modeling is approached from a practical banker¿s point of view, using the history of the Merton credit model as an example. The strengths and weaknesses of various credit modeling technologies are compared from the perspective of default probability prediction, pricing, hedging, and valuation. Credit Risk Management also illustrates credit model performance using some of the largest bankruptcies in history as case studies.
Donald R. Van Deventer (Hawaii, USA) is founder and President of the Kamakura Corporation. Kenji Imai (Hawaii, USA) heads software development for the Kamakura Corporation.
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