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By Jiří Witzany

This booklet introduces to uncomplicated and complex tools for credits danger administration. It covers classical debt tools and smooth monetary markets items. the writer describes not just typical score and scoring equipment like category timber or Logistic Regression, but additionally much less identified types which are topic of ongoing examine, like e.g. aid Vector Machines, Neural Networks, or Fuzzy Inference platforms. The publication additionally illustrates monetary and commodity markets and analyzes the rules of complicated credits probability modeling innovations and credits derivatives pricing equipment. specific awareness is given to the demanding situations of counterparty probability administration, credits Valuation Adjustment (CVA) and the similar regulatory Basel III requirements.  As a end, the publication offers the reader with the entire crucial features of classical and smooth credits chance administration and modeling.

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Credit Risk Management: Pricing, Measurement, and Modeling by Jiří Witzany


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