Credit Risk Modelling - Facts, Theory and Applications

  title={Credit Risk Modelling - Facts, Theory and Applications},
  author={Terry Benzschawel},
PREFACE SECTION I: Facts, Tools and Theory Part I: Credit Risk - Facts and Basic Tools 1. Credit Risk 2. Rating Agencies, Default Risk and Loss Given Default 3. Default Part II: Modelling Credit Risk 4. Fundamental Analysis 5. Statistical and Reduced Form Credit Models 6. Structural and Hybrid Credit Models 7. Market-Implied Default Models 8. Models of Loss Given Default 9. Credit Momentum, Beta and Relative Value SECTION II: Applications and Advanced Topics Part I: Portfolio Optimization and… CONTINUE READING