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Credit Correlation

Author : Youssef Elouerkhaoui
Publisher : Springer
ISBN 13 : 3319609734
Total Pages : 466 pages
Book Rating : 4.3/5 (196 download)

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Book Synopsis Credit Correlation by : Youssef Elouerkhaoui

Download or read book Credit Correlation written by Youssef Elouerkhaoui and published by Springer. This book was released on 2017-11-15 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an advanced guide to correlation modelling for credit portfolios, providing both theoretical underpinnings and practical implementation guidance. The book picks up where pre-crisis credit books left off, offering guidance for quants on the latest tools and techniques for credit portfolio modelling in the presence of CVA (Credit Value Adjustments). Written at an advanced level, it assumes that readers are familiar with the fundamentals of credit modelling covered, for example, in the market leading books by Schonbucher (2003) and O’Kane (2008). Coverage will include the latest default correlation approaches; correlation modelling in the ‘Marshall-Olkin’ contagion framework, in the context of CVA; numerical implementation; and pricing, calibration and risk challenges. The explosive growth of credit derivatives markets in the early-to-mid 000’s was bought to a close by the 2007 financial crisis, where these instruments were held largely to blame for the economic downturn. However, in the wake of increased regulation across all financial instruments and the challenge of buying and selling bonds in large amounts, credit derivatives have once again been found to be the answer and the market has grown significantly. Written by a practitioner for practitioners, this book will also interest researchers in mathematical finance who want to understand how things happen and work ‘on the floor’. Building the reader’s knowledge from the ground up, and with numerous real life examples used throughout, this book will prove a popular reference for anyone with a mathematical mind interested credit markets.

(Preface) Credit Correlation

Author : Alexander Lipton
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis (Preface) Credit Correlation by : Alexander Lipton

Download or read book (Preface) Credit Correlation written by Alexander Lipton and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value from $1 trillion to $20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. For a long time now, the framework of Gaussian copulas parameterized by correlation, and more recently base correlation, has provided an adequate, if unintuitive, description of the market. However, the increased liquidity in credit indices and index tranches, as well as the proliferation of exotic instruments such as forward starting tranches, options on tranches, leveraged super senior tranches, and the like, have made it imperative to come up with models that describe market reality better. This book, originally and concurrently published in the International Journal of Theoretical and Applied Finance, Vol. 10, No. 4, 2007, agrees that base correlation has outlived its usefulness; opinions of how to replace it, however, are divided. Both the top-down and bottom-up approaches for describing the dynamics of credit baskets are presented, and pro and contra arguments are put forward. Readers will decide which direction is the most promising one at the moment. However, it is hoped that, in the near future, models that transcend base correlation will be proposed and accepted by the market.

Introduction to Credit Risk Modeling

Author : Christian Bluhm
Publisher : CRC Press
ISBN 13 : 1584889934
Total Pages : 386 pages
Book Rating : 4.5/5 (848 download)

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Book Synopsis Introduction to Credit Risk Modeling by : Christian Bluhm

Download or read book Introduction to Credit Risk Modeling written by Christian Bluhm and published by CRC Press. This book was released on 2016-04-19 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains Nearly 100 Pages of New MaterialThe recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model credit portfolios, Introduction to Credit Risk Modelin

Credit Risk

Author : Niklas Wagner
Publisher : CRC Press
ISBN 13 : 1584889950
Total Pages : 600 pages
Book Rating : 4.5/5 (848 download)

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Book Synopsis Credit Risk by : Niklas Wagner

Download or read book Credit Risk written by Niklas Wagner and published by CRC Press. This book was released on 2008-05-28 with total page 600 pages. Available in PDF, EPUB and Kindle. Book excerpt: Featuring contributions from leading international academics and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results. Divided into six sectio

Credit Models and the Crisis

Author : Damiano Brigo
Publisher : John Wiley & Sons
ISBN 13 : 0470971436
Total Pages : 212 pages
Book Rating : 4.4/5 (79 download)

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Book Synopsis Credit Models and the Crisis by : Damiano Brigo

Download or read book Credit Models and the Crisis written by Damiano Brigo and published by John Wiley & Sons. This book was released on 2010-10-28 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent financial crisis has highlighted the need for better valuation models and risk management procedures, better understanding of structured products, and has called into question the actions of many financial institutions. It has become commonplace to blame the inadequacy of credit risk models, claiming that the crisis was due to sophisticated and obscure products being traded, but practitioners have for a long time been aware of the dangers and limitations of credit models. It would seem that a lack of understanding of these models is the root cause of their failures but until now little analysis had been published on the subject and, when published, it had gained very limited attention. Credit Models and the Crisis is a succinct but technical analysis of the key aspects of the credit derivatives modeling problems, tracing the development (and flaws) of new quantitative methods for credit derivatives and CDOs up to and through the credit crisis. Responding to the immediate need for clarity in the market and academic research environments, this book follows the development of credit derivatives and CDOs at a technical level, analyzing the impact, strengths and weaknesses of methods ranging from the introduction of the Gaussian Copula model and the related implied correlations to the introduction of arbitrage-free dynamic loss models capable of calibrating all the tranches for all the maturities at the same time. It also illustrates the implied copula, a method that can consistently account for CDOs with different attachment and detachment points but not for different maturities, and explains why the Gaussian Copula model is still used in its base correlation formulation. The book reports both alarming pre-crisis research and market examples, as well as commentary through history, using data up to the end of 2009, making it an important addition to modern derivatives literature. With banks and regulators struggling to fully analyze at a technical level, many of the flaws in modern financial models, it will be indispensable for quantitative practitioners and academics who want to develop stable and functional models in the future.

The Structured Credit Handbook

Author : Arvind Rajan
Publisher : John Wiley & Sons
ISBN 13 : 0470100087
Total Pages : 544 pages
Book Rating : 4.4/5 (71 download)

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Book Synopsis The Structured Credit Handbook by : Arvind Rajan

Download or read book The Structured Credit Handbook written by Arvind Rajan and published by John Wiley & Sons. This book was released on 2007-03-31 with total page 544 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Structured Credit Handbook is a comprehensive introduction to all types of credit-linked financial instruments. This book provides state-of-the-art primers on single tranche collateralized debt obligations (CDOs), collateralized loan obligations (CLOs), credit derivatives (such as credit default swaps and swaptions), and iBoxx indexes. Filled with in-depth insight and expert advice, The Structured Credit Handbook covers all aspects of the synthetic arbitrage CDO market, including new instruments such as CDO2. Readers will also gain a firm understanding of the investment rationale, risks, and rewards associated with CDO investments through this valuable resource. The exploding use of credit derivatives and collateralized debt obligations (CDOs) has transformed the world of credit, creating an $18 trillion market almost overnight and resulting in innumerable investment and career opportunities globally. The Structured Credit Handbook provides the reader with a comprehensive and clear roadmap to today's new credit landscape. The full spectrum of structured credit products, from single-name CDS to CDOs, is explained in a simple, clear fashion that is free from the financial jargon and mathematical complexity which characterize many other derivative texts. The handbook begins with an in-depth explanation of the building blocks of the structured credit markets, single-name default swaps and indexes, and it culminates with complex products such as credit options, synthetic tranches, CDOs based on bank loans and asset-backed securities, and CDO-squareds. Written by experienced practitioners who have participated in this market since its infancy, each of the thirteen chapters introduces and analyzes a new product and explains its practical applications. A rich set of real-life case studies illustrate the application of each product in a concrete market setting. The book may be used in a semester-long course on structured credit as part of a business or finance curriculum. Whether you are a market professional, a university student or faculty member, or simply a financially savvy layperson, look no further for an up-to-date and thorough introduction to this rapidly growing and exciting field. Dr. Arvind Rajan, Managing Director, Citigroup Global Markets, is engaged in proprietary trading of Structured Credit products, and until recently, was global head of Structured Credit Research and Strategy at Citigroup. Glen McDermott (New York, NY) is Director of Fixed Income Sales and the former head of CDO Research at Citigroup Global Markets Inc. Ratul Roy is head of CDO Strategy for Citigroup Global Markets and has spent the prior nine years in structuring or analyzing CDOs and other structured credit products.

Managing Portfolio Credit Risk in Banks: An Indian Perspective

Author : Arindam Bandyopadhyay
Publisher : Cambridge University Press
ISBN 13 : 110714647X
Total Pages : 390 pages
Book Rating : 4.1/5 (71 download)

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Book Synopsis Managing Portfolio Credit Risk in Banks: An Indian Perspective by : Arindam Bandyopadhyay

Download or read book Managing Portfolio Credit Risk in Banks: An Indian Perspective written by Arindam Bandyopadhyay and published by Cambridge University Press. This book was released on 2016-05-09 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explains how a proper credit risk management framework enables banks to identify, assess and manage the risk proactively.

Credit Correlation

Author : Alexander Lipton
Publisher : World Scientific
ISBN 13 : 9812709509
Total Pages : 178 pages
Book Rating : 4.8/5 (127 download)

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Book Synopsis Credit Correlation by : Alexander Lipton

Download or read book Credit Correlation written by Alexander Lipton and published by World Scientific. This book was released on 2008 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent growth of credit derivatives has been explosive. The global credit derivatives market grew in notional value from $1 trillion to $20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. For a long time now, the framework of Gaussian copulas parameterized by correlation, and more recently base correlation, has provided an adequate, if unintuitive, description of the market. However, the increased liquidity in credit indices and index tranches, as well as the proliferation of exotic instruments such as forward starting tranches, options on tranches, leveraged super senior tranches, and the like, have made it imperative to come up with models that describe market reality better. This book, originally and concurrently published in the International Journal of Theoretical and Applied Finance, Vol. 10, No. 4, 2007, agrees that base correlation has outlived its usefulness; opinions of how to replace it, however, are divided. Both the top-down and bottom-up approaches for describing the dynamics of credit baskets are presented, and pro and contra arguments are put forward. Readers will decide which direction is the most promising one at the moment. However, it is hoped that, in the near future, models that transcend base correlation will be proposed and accepted by the market. Sample Chapter(s). Introduction (31 KB). Chapter 1: L(r)vy Simples Tructural Models (209 KB). Contents: L(r)vy Simple Structural Models (M Baxter); Cluster-Based Extension of the Generalized Poisson Loss Dynamics and Consistency with Single Names (D Brigo et al.); Stochastic Intensity Modeling for Structured Credit Exotics (A Chaposvsky et al.); Large Portfolio Credit Risk Modeling (M H A Davis & J C Esparragoza-Rodriguez); Empirical Copulas for CDO Tranche Pricing Using Relative Entropy (M A H Dempster et al.); Pricing and Hedging in a Dynamic Credit Model (Y Elouerkhaoui); Joint Distributions of Portfolio Losses and Exotic Portfolio Products (F Epple et al.); On the Term Structure of Loss Distributions: A Forward Model Approach (J Sidenius). Readership: Professionals, academics and students in the areas of finance and bank

Credit Derivatives Pricing Models

Author : Philipp J. Schönbucher
Publisher : John Wiley & Sons
ISBN 13 : 0470868171
Total Pages : 396 pages
Book Rating : 4.4/5 (78 download)

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Book Synopsis Credit Derivatives Pricing Models by : Philipp J. Schönbucher

Download or read book Credit Derivatives Pricing Models written by Philipp J. Schönbucher and published by John Wiley & Sons. This book was released on 2003-10-31 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt: The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue. Dr. Philipp J. Schönbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation.

Credit Risk Modeling using Excel and VBA

Author : Gunter Löeffler
Publisher : John Wiley & Sons
ISBN 13 : 0470660929
Total Pages : 372 pages
Book Rating : 4.4/5 (76 download)

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Book Synopsis Credit Risk Modeling using Excel and VBA by : Gunter Löeffler

Download or read book Credit Risk Modeling using Excel and VBA written by Gunter Löeffler and published by John Wiley & Sons. This book was released on 2011-01-31 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is common to blame the inadequacy of credit risk models for the fact that the financial crisis has caught many market participants by surprise. On closer inspection, though, it often appears that market participants failed to understand or to use the models correctly. The recent events therefore do not invalidate traditional credit risk modeling as described in the first edition of the book. A second edition is timely, however, because the first dealt relatively briefly with instruments featuring prominently in the crisis (CDSs and CDOs). In addition to expanding the coverage of these instruments, the book will focus on modeling aspects which were of particular relevance in the financial crisis (e.g. estimation error) and demonstrate the usefulness of credit risk modelling through case studies. This book provides practitioners and students with an intuitive, hands-on introduction to modern credit risk modelling. Every chapter starts with an explanation of the methodology and then the authors take the reader step by step through the implementation of the methods in Excel and VBA. They focus specifically on risk management issues and cover default probability estimation (scoring, structural models, and transition matrices), correlation and portfolio analysis, validation, as well as credit default swaps and structured finance. The book has an accompanying website, https://creditriskmodeling.wordpress.com/, which has been specially updated for this Second Edition and contains slides and exercises for lecturers.

Credit Derivatives

Author : Geoff Chaplin
Publisher : John Wiley & Sons
ISBN 13 : 0470686448
Total Pages : 420 pages
Book Rating : 4.4/5 (76 download)

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Book Synopsis Credit Derivatives by : Geoff Chaplin

Download or read book Credit Derivatives written by Geoff Chaplin and published by John Wiley & Sons. This book was released on 2010-04-19 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt: The credit derivatives industry has come under close scrutiny over the past few years, with the recent financial crisis highlighting the instability of a number of credit structures and throwing the industry into turmoil. What has been made clear by recent events is the necessity for a thorough understanding of credit derivatives by all parties involved in a transaction, especially traders, structurers, quants and investors. Fully revised and updated to take in to account the new products, markets and risk requirements post financial crisis, Credit Derivatives: Trading, Investing and Risk Management, Second Edition, covers the subject from a real world perspective, tackling issues such as liquidity, poor data, and credit spreads, to the latest innovations in portfolio products, hedging and risk management techniques. The book concentrates on practical issues and develops an understanding of the products through applications and detailed analysis of the risks and alternative means of trading. It provides: a description of the key products, applications, and an analysis of typical trades including basis trading, hedging, and credit structuring; analysis of the industry standard 'default and recovery' and Copula models including many examples, and a description of the models' shortcomings; tools and techniques for the management of a portfolio or book of credit risks including appropriate and inappropriate methods of correlation risk management; a thorough analysis of counterparty risk; an intuitive understanding of credit correlation in reality and in the Copula model. The book is thoroughly updated to reflect the changes the industry has seen over the past 5 years, notably with an analysis of the lead up and causes of the credit crisis. It contains 50% new material, which includes copula valuation and hedging, portfolio optimisation, portfolio products and correlation risk management, pricing in illiquid environments, chapters on the evolution of credit management systems, the credit meltdown and new chapters on the implementation and testing of credit derivative models and systems. The book is accompanied by a website which contains tools for credit derivatives valuation and risk management, illustrating the models used in the book and also providing a valuation toolkit.

Concentration Risk in Credit Portfolios

Author : Eva Lütkebohmert
Publisher : Springer Science & Business Media
ISBN 13 : 3540708707
Total Pages : 229 pages
Book Rating : 4.5/5 (47 download)

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Book Synopsis Concentration Risk in Credit Portfolios by : Eva Lütkebohmert

Download or read book Concentration Risk in Credit Portfolios written by Eva Lütkebohmert and published by Springer Science & Business Media. This book was released on 2008-09-30 with total page 229 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling and management of credit risk are the main topics within banks and other lending institutions. Historical experience shows that, in particular, concentration of risk in credit portfolios has been one of the major causes of bank distress. Therefore, concentration risk is highly relevant to anyone who wants to go beyond the very basic portfolio credit risk models. The book gives an introduction to credit risk modeling with the aim to measure concentration risks in credit portfolios. Taking the basic principles of credit risk in general as a starting point, several industry models are studied. These allow banks to compute a probability distribution of credit losses at the portfolio level. Besides these industry models the Internal Ratings Based model, on which Basel II is based, is treated. On the basis of these models various methods for the quantification of name and sector concentration risk and the treatment of default contagion are discussed. The book reflects current research in these areas from both an academic and a supervisory perspective

Investing in Corporate Bonds and Credit Risk

Author : F. Hagenstein
Publisher : Springer
ISBN 13 : 0230523293
Total Pages : 355 pages
Book Rating : 4.2/5 (35 download)

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Book Synopsis Investing in Corporate Bonds and Credit Risk by : F. Hagenstein

Download or read book Investing in Corporate Bonds and Credit Risk written by F. Hagenstein and published by Springer. This book was released on 2004-10-01 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investing in Corporate Bonds and Credit Risk is a valuable tool for any corporate bond investor. All the most recent developments and strategies in investment in corporate bonds are analyzed included with qualitative and quantitative approaches. A complete and up-to-date investment process is developed through the book, using many examples taken from banking practice. The growing significance of derivative instruments and credit diversification to bond investors is also analyzed in detail.

Ratings, Rating Agencies and the Global Financial System

Author : Richard M. Levich
Publisher : Springer Science & Business Media
ISBN 13 : 1461509998
Total Pages : 380 pages
Book Rating : 4.4/5 (615 download)

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Book Synopsis Ratings, Rating Agencies and the Global Financial System by : Richard M. Levich

Download or read book Ratings, Rating Agencies and the Global Financial System written by Richard M. Levich and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ratings, Rating Agencies and the Global Financial System brings together the research of economists at New York University and the University of Maryland, along with those from the private sector, government bodies, and other universities. The first section of the volume focuses on the historical origins of the credit rating business and its present day industrial organization structure. The second section presents several empirical studies crafted largely around individual firm-level or bank-level data. These studies examine (a) the relationship between ratings and the default and recovery experience of corporate borrowers, (b) the comparability of credit ratings made by domestic and foreign rating agencies, and (c) the usefulness of financial market indicators for rating banks, among other topics. In the third section, the record of sovereign credit ratings in predicting financial crises and the reaction of financial markets to changes in credit ratings is examined. The final section of the volume emphasizes policy issues now facing regulators and credit rating agencies.

Financial Risk Manager Handbook

Author : Philippe Jorion
Publisher : John Wiley & Sons
ISBN 13 : 0470176563
Total Pages : 738 pages
Book Rating : 4.4/5 (71 download)

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Book Synopsis Financial Risk Manager Handbook by : Philippe Jorion

Download or read book Financial Risk Manager Handbook written by Philippe Jorion and published by John Wiley & Sons. This book was released on 2007-06-15 with total page 738 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential guide to financial risk management and the only way to get a great overview of the subjects covered in the GARP FRM Exam The Financial Risk Management Exam (FRM Exam) is given by the Global Association of Risk Professionals (GARP) annually in November for risk professionals who want to earn FRM(r) certification. The Financial Risk Manager Handbook, Fourth Edition is the definitive guide for those preparing to take the FRM Exam as well as a valued working reference for risk professionals. Written with the full support of GARP, and containing questions and solutions from previous exams, this book is a valuable resource for professionals responsible for or associated with financial risk management.

Counterparty Credit Risk

Author : Jon Gregory
Publisher : John Wiley & Sons
ISBN 13 : 0470689994
Total Pages : 449 pages
Book Rating : 4.4/5 (76 download)

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Book Synopsis Counterparty Credit Risk by : Jon Gregory

Download or read book Counterparty Credit Risk written by Jon Gregory and published by John Wiley & Sons. This book was released on 2011-09-07 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management. Counterparty credit risk has become the key element of financial risk management, highlighted by the bankruptcy of the investment bank Lehman Brothers and failure of other high profile institutions such as Bear Sterns, AIG, Fannie Mae and Freddie Mac. The sudden realisation of extensive counterparty risks has severely compromised the health of global financial markets. Counterparty risk is now a key problem for all financial institutions. This book explains the emergence of counterparty risk during the recent credit crisis. The quantification of firm-wide credit exposure for trading desks and businesses is discussed alongside risk mitigation methods such as netting and collateral management (margining). Banks and other financial institutions have been recently developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment (CVA). The implications of an institution valuing their own default via debt value adjustment (DVA) are also considered at length. Hedging aspects, together with the associated instruments such as credit defaults swaps (CDSs) and contingent CDS (CCDS) are described in full. A key feature of the credit crisis has been the realisation of wrong-way risks illustrated by the failure of monoline insurance companies. Wrong-way counterparty risks are addressed in detail in relation to interest rate, foreign exchange, commodity and, in particular, credit derivative products. Portfolio counterparty risk is covered, together with the regulatory aspects as defined by the Basel II capital requirements. The management of counterparty risk within an institution is also discussed in detail. Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered. This book is unique in being practically focused but also covering the more technical aspects. It is an invaluable complete reference guide for any market practitioner with any responsibility or interest within the area of counterparty credit risk.

Credit Risk Management

Author : Tony Van Gestel
Publisher : OUP Oxford
ISBN 13 : 0191609307
Total Pages : 552 pages
Book Rating : 4.1/5 (916 download)

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Book Synopsis Credit Risk Management by : Tony Van Gestel

Download or read book Credit Risk Management written by Tony Van Gestel and published by OUP Oxford. This book was released on 2008-10-23 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit Risk Management: Basic Concepts is the first book of a series of three with the objective of providing an overview of all aspects, steps, and issues that should be considered when undertaking credit risk management, including the Basel II Capital Accord, which all major banks must comply with in 2008. The introduction of the recently suggested Basel II Capital Accord has raised many issues and concerns about how to appropriately manage credit risk. Managing credit risk is one of the next big challenges facing financial institutions. The importance and relevance of efficiently managing credit risk is evident from the huge investments that many financial institutions are making in this area, the booming credit industry in emerging economies (e.g. Brazil, China, India, ...), the many events (courses, seminars, workshops, ...) that are being organised on this topic, and the emergence of new academic journals and magazines in the field (e.g. Journal of Credit Risk, Journal of Risk Model Validation, Journal of Risk Management in Financial Institutions, ...). Basic Concepts provides the introduction to the concepts, techniques, and practical examples to guide both young and experienced practitioners and academics in the fascinating, but complex world of risk modelling. Financial risk management, an area of increasing importance with the recent Basel II developments, is discussed in terms of practical business impact and the increasing profitability competition, laying the foundation for books II and III.