Credit Risk Management F79CR

Alexander J. McNeil & Tim Johnson

Chapters

1. Introduction to Credit Risk (Chapter 1)
   
2. Merton's Model (Chapter 2)
   
3. Industrial Implementations of Merton's Model (Chapter 3)
4. Latent Variable or Threshold Models (Chapter 4)
5. Mixture Models (Chapter 5)
   
6. CreditRisk+ (Chapter 6)
   
7. Simulation (Chapter 7)
   
8. Asymptotics of the Loss Distribution (Chapter 8)
   
9. Basel II (Chapter 9)
   

Other Material

1. Moody's KMV Modelling Methodology (Crosbie and Bohn)
   
2. CreditMetrics Technical Documentation
   
3. CreditRisk+ Technical Documentation
   
4. Basel II accord