Olejar Books

Modeling and management of credit risk is the main topic within banks and other lending institutions and concentration risk is highly relevant to anyone who wants to go beyond the very basic portfolio credit risk models. The book gives and introduction to credit risk modeling with the target to measuring concentration risks in credit portfolios. Taking the basic principles of credit risk in general as a starting point several industry credit risk models are studied which allow banks to simulate or compute a probablility distribution of credit losses at the portfolio level. Besides these industry models the Internal Raings Based (IRB) Model, on which Basel II is based is treated. On the basis of these models various methodologies for concentration risks are discussed and current research in these areas is reflected.