A comprehensive resource providing extensive coverage of the state of the art in credit secruritisations, derivatives, and risk management
Credit Securitisations and Derivatives is a one-stop resource presenting the very latest thinking and developments in the field of credit risk. Written by leading thinkers from academia, the industry, and the regulatory environment, the book tackles areas such as business cycles; correlation modelling and interactions between financial markets, institutions, and instruments in relation to securitisations and credit derivatives; credit portfolio risk; credit portfolio risk tranching; credit ratings for securitisations; counterparty credit risk and clearing of derivatives contracts and liquidity risk. As well as a thorough analysis of the existing models used in the industry, the book will also draw on real life cases to illustrate model performance under different parameters and the impact that using the wrong risk measures can have.
Об авторе
Daniel Röschis Professor of Finance and Head of the
Institute of Banking and Finance at Leibniz Universität
Hannover. He received a Ph D from the University of Regensburg. His
work covers a broad range in Banking, Asset Pricing and Empirical
Finance. He has published numerous articles on Risk Management,
Credit Risk, Banking, Quantitative Finance and Financial
Econometrics in leading international journals. He has been
conducting research projects with supervising authorities and is
consulting financial institutions on risk management issues.
Harald Scheule is Associate Professor of Finance at the
University of Technology, Sydney. His expertise is in the area of
banking, Financial Risk Measurement and Management, Insurance,
Prudential Regulation, Securities Evaluation and Structured
Finance. He is a regional director of the Global Association of
Risk Professionals. His research work has been accepted for
publication in a wide range of journals including the European
Financial Management, International Review of Finance, Journal of
Banking and Finance, Journal of Financial Research, Journal of the
Operational Research Society and The European Journal of
Finance. He has worked with prudential regulators of financial
institutions and undertaken consulting work for a wide range of
financial institutions and service providers in Australia, Europe
and North America.
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