| | This is the web's most comprehensive credit risk modeling and measurement resource for corporate debt. There are currently 1,562 references with abstracts to credit risk management and modeling related research, 1,333 of these are full text freely downloadable papers. If I have missed anything, then please contact me. About this Web SiteThis is not a vendor site. It is just my own. I have been excited by credit risk methodologies throughout my career. Although I am the principal author of CreditMetrics® and LossCalc™ (and have a natural affinity for them), I am more of an advocate for the continued study of credit risk modeling. Wonderfully, there are over seventeen hundred researchers featured on this site (see the full list)! "I'm making the world less risky;
one credit portfolio at a time!" -- Greg M. Gupton What I want is to advance the state-of-the-art of credit risk management ... through YOU. I hope to give you all the tools to understand the strengths and limits of credit value-at-risk models so you can take the best and ... I trust ... create better ones. This site has been under continual development since 2000 and will continue to grow. I'm trying to satisfy two audiences: Practitioners have a no-nonsense need to address risk in a timely fashion. Institutions hire research people to develop internally (and adapt from external sources) risk measurement and pricing systems to address tangible needs. Academics have the more strategic, but no less difficult, need to efficiently access the many disparate sources of prior research and to gain insight into current practitioner practice & demand. Greg M. Gupton, Webmaster
|
The Art of Credit Derivatives: Demystifying the Black Swan
Fundamentals of Stochastic Filtering
The Solvency II Handbook
Counterparty Credit Risk: The new challenge for global financial markets
A History of the Federal Reserve, Volume 2, Book 2, 1970-1986
Regulation of Banks and Finance: Theory and Policy after the Credit Crisis
Frequently Asked Questions in Quantitative Finance
Managing Credit Portfolios
Global Bank Regulation: Principles and Policies
Financial Derivatives: Pricing and Risk Management
Business Cycles and Equilibrium
Mathematical Methods for Financial Markets
Financial Institutions and Markets: 2007-2008 -- The Year of Crisis
