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What is a good beginner book on the topic of Credit Risk management for banking? I am a credit risk systems developer and most of my knowledge is in IT systems and programs that support the credit risk management department.

We use the SAS CRMB package for our work.

I am looking for a 'beginner' book that explains the concepts and calculations (not too mathy would be ideal) behind EAD,PD,LGD,RWA. Some explanation of USFinal and BASEL rules would be awesome too.

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IMHO, I suggest you to read:

Sironi, Andrea, and Andrea Resti. Risk management and shareholders' value in banking: from risk measurement models to capital allocation policies. Vol. 417. John Wiley & Sons, 2007.

I studied that during the university for my risk management classes and I still find it enlightening and informative.

The mathematics behind it is not complex and it covers all (credit) risk management models till 2007 (I own that edition, but I do not know if there exist a further one).

I will suggest other books if you need for, but more complex than that; I'm a pretty active user on quant.SE, so, you need some help or advice more, comment below the answer.

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  • $\begingroup$ You're welcome @Victor123! $\endgroup$ – Quantopik Apr 30 '15 at 14:04
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Crouhy, Mark and Galai's book Risk Management is about all aspects of risk management for investment banks, including credit risk of course.

If you need to focus on one book, it is this one.

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