Credit-Risk Modelling Theoretical Foundations, Diagnostic Tools, Pra
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. Address
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Credit-Risk Modelling
Theoretical Foundations, Diagnostic Tools, Practical Examples, and Numerical Recipes in Python
Credit-Risk Modelling
David Jamieson Bolder
Credit-Risk Modelling Theoretical Foundations, Diagnostic Tools, Practical Examples, and Numerical Recipes in Python
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David Jamieson Bolder The World Bank District of Columbia Washington, DC, USA
ISBN 978-3-319-94687-0 ISBN 978-3-319-94688-7 (eBook) https://doi.org/10.1007/978-3-319-94688-7 Library of Congress Control Number: 2018948195 © Springer International Publishing AG, part of Springer Nature 2018 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. The publisher remains neutral with regard to jurisdictional claims in published maps and institutional affiliations. Printed on acid-free paper This Springer imprint is published by the registered company Springer Nature Switzerland AG The registered company address is: Gewerbestrasse 11, 6330 Cham, Switzerland
À Thomas, mon petit loup et la fièreté de ma vie.
Foreword
As there are already many good technical books and articles on credit-risk modelling, one may well question why there needs to be another one. David’s new book is different and will be useful to those interested in a comprehensive development of the subject through a pedagogical approach. He starts from first principles and foundations, deftly makes connections with market-risk models, which were developed first, but shows why credit-risk modelling needs different tools and techniques. Building on these foundational principles, he develops in extraordinary detail the technical and mathematical concepts needed for credit-risk modelling. This fresh, step-by-step, build-up of methodologies is almost like someone helping the readers themselves develop the logic and concepts; the technique is unique and yields a solid understanding of fundamental issues relating to credit risk and the modelling of such risk. David goes beyond analytical modelling to address the practical issues associated with
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