Book description
State-of-the-art techniques and tools needed to facilitate effective
credit portfolio management and robust quantitative credit analysis
Filled with in-depth insights and expert advice, Active Credit
Portfolio Management in Practice serves as a comprehensive
introduction to both the theory and real-world practice of credit
portfolio management. The authors have written a text that is
technical enough both in terms of background and implementation to
cover what practitioners and researchers need for actually applying
these types of risk management tools in large organizations but which
at the same time, avoids technical proofs in favor of real
applications. Throughout this book, readers will be introduced to the
theoretical foundations of this discipline, and learn about
structural, reduced-form, and econometric models successfully used in
the market today. The book is full of hands-on examples and anecdotes.
Theory is illustrated with practical application. The authors' Website
provides additional software tools in the form of Excel spreadsheets,
Matlab code and S-Plus code. Each section of the book concludes with
review questions designed to spark further discussion and reflection
on the concepts presented.
Jeffrey R. Bohn, PhD (Tokyo Japan, and San
Francisco,CA) leads the Financial Strategies group at Shinsei Bank in
Tokyo. Previously, he co-led Moody's KMV's (MKMV's) Global Research
group and led MKMV's Credit Strategies group.
Roger M. Stein, PhD (New York, NY) is Group Managing Director
at Moody's where he leads the newly formed Moody's Quantitative
Research and Analytics group. Previously, he co-led MKMV's Global
Research group. Prior to that he led Moody's Risk Management Services'
Research Group.
