Advances in Credit Risk Modeling and Management

Abstract

Correctly assessing credit risk still represents an important challenge for both practitioners and scholars. On the one hand, credit risk measures play a central role in the banking sector's regulations, governing the profitability of financial institutions which remain at the heart of our economic system. On the other hand, effectively computing such measures in a sound and rigorous way triggers important challenges because of the lack of relevant information and/or models. It is therefore important that academics pursue efforts to improve their models. This book presents some recent advances which methodologically and/or computationally contribute to the more rigorous and reliable management of credit risk of firms. The book covers default and recovery rate models, trade credit, counterparty credit risk, and hybrid product pricing.