"Advanced Credit Risk Analysis: Financial Approaches and Mathematical Models to assess price and manage credit risk"

Cossin, Didier and Pirotte, Hugues, "Advanced Credit Risk Analysis: Financial Approaches and Mathematical Models to assess price and manage credit risk", John Wiley & Sons, 2000, pp 357, L55

Credit Risk has always been a major concern for financial institutions and intermediaries. Traditionally this has been addressed by random evaluation or credit risk departments using acturial methods based on historial data. In recent years the massive growth in financial markets combined with the increasing sophistication of financial instruments has turned some of the traditional ways of credit analysis redundant. The rapid growth in the derivative instruments segment has lead forth the formation of sophesticated models/methods for credit risk evaluation independently. Credit Derivatives happen to form the most famous derivative instruments amongst the derivative segment. Also advances in credit pricing and risk management models, together with the development of a sophesticated markets for credit instruments (like credit derivatives), have forced banks, financial institutions and investors alike to re-evaluate their entire approach to credit risk. Researchers and mathematecians around the world have contributed extensively in the last 50 years to develop automated and advanced mechanism for measurment and management of credit risk.

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