Managing Credit Risk v.1

This book examines best and worst practice in the evaluation and management of credit risk, analysing how credit risk is connected to market risk through trigger events. In two volumes, it discusses the different techniques that can be used to quantify and optimise credit risk management, evaluating their uses, limitations and solutions. Volume I - Analysing, Rating and Pricing the Probability of Default examines the concepts of credit risk and the theory underpinning a management strategy. It details and evaluates the methodologies of the three major agencies - Standard and Poor's, Moody's and Fitch IBCA - in rating counterparty risk; and the integration of credit analysis in pricing financial instruments.