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Credit-Risk Modelling: Theoretical Foundations, Diagnostic Tools, Practical Examples, and Numerical Recipes in Python

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Description

The risk of counterparty default in banking, insurance, institutional, and pension-fund portfolios is an area of ongoing and increasing importance for finance practitioners. It is, unfortunately, a topic with a high degree of technical complexity. Addressing this challenge, this book provides a comprehensive and attainable mathematical and statistical discussion of a broad range of existing default-risk models. Model description and derivation, however, is only part of the story. Through use of exhaustive practical examples and extensive code illustrations in the Python programming language, this work also explicitly shows the reader how these models are implemented. Bringing these complex approaches to life by combining the technical details with actual real-life Python code reduces the burden of model complexity and enhances accessibility to this decidedly specialized field of study. The entire work is also liberally supplemented with model-diagnostic, calibration, and parameter-estimation techniques to assist the quantitative analyst in day- to-day implementation as well as in mitigating model risk. Written by an active and experienced practitioner, it is an invaluable learning resource and reference text for financial-risk practitioners and an excellent source for advanced undergraduate and graduate students seeking to acquire knowledge of the key elements of this discipline. Read more

Publisher ‏ : ‎ Springer; 1st ed. 2018 edition (October 31, 2018)


Publication date ‏ : ‎ October 31, 2018


Language ‏ : ‎ English


File size ‏ : ‎ 95392 KB


Text-to-Speech ‏ : ‎ Enabled


Enhanced typesetting ‏ : ‎ Enabled


X-Ray ‏ : ‎ Not Enabled


Word Wise ‏ : ‎ Not Enabled


Sticky notes ‏ : ‎ On Kindle Scribe


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If you place your order now, the estimated arrival date for this product is: Tuesday, May 14

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Top Amazon Reviews

    • Good book
Good book.
Reviewed in the United States on July 22, 2021 by H J
    • Great book to have.
Good book so far. Theoretical and practical as well.
Reviewed in the United States on February 15, 2020 by edunuke
    • Needs editing, especially the code
I guess it's ok if one makes a typo in the code and it's understandable. But the code seemed have their logic confused as well. Sometimes a function introduces an argument that is not used in the function body. Sometimes dimensions of a matrix was forgotten and flattened to an array. Sometimes a constant is treated like an array and called by array related methods. Maybe I have just misunderstood things, but the code I tried to replicate in my Jupyter notebook rarely runs. If the author can put some comments and expected intermediate sample results that would be quite helpful. Otherwise I found these code just confuses the content of the book. Other than the code, the book in general can do with some thoughtful editing. For instance, the topics for subchapters are usually titled "some thoughts", "some details". These are are not informative to the readers when scanning over the table of contents. Paragraphs can be shortened with repeated sentences sending the same message. Sometimes obscure and vague figurative vocabulary is used and I found myself keeping a dictionary handy. Sometimes the sentence can get quite fluffy. (i.e. "Our thematic categorization is intended to inform three distinct questions. The first question, associated with the initial theme...", I didn't know what that mean and by the way, I wasn't able to find the second and the third question, neither understood what the themes were.) And sentences in general can do with less comma, adornment, and pomposity (i.e. "Default is, quite simply, an inability, or unwillingness, of an obligor to meet its obligations") However it's not all negatives. The math part so far are quite straightforward and well derived. (Although I somehow think the author has the basic variance formula var(x) = E[x^2] - E[x]^2 either consistently typo-ed or mistook) The arrangement of the chapters are clear. The messages are conveyed consistently and the connections between the chapters are strong. There is no doubt it's a blessing for the readers to have an experienced practitioner like the author. But if the book can be edited for a clearer messages this will be an even more pleasant text to study. ... show more
Reviewed in the United States on August 9, 2020 by Kuan Yang

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