Credit Risk Models and the Basel Accords

Credit Risk Models and the Basel Accords reviews the objectives of the credit risk management process and introduces the theory of the Merton and reduced form credit models. It shows how the models can be used in practice, and then examines a wide range of historical data to show the relative performance of the models in practice. This book offers a balanced review of the newer reduced-form models and the older Merton model. It is an invaluable guide for financial institutions striving to meet the requirements of the new Basel Accord.