Modern financial engineering : counterparty, credit, portfolio and systemic risks

1. Distributions Commonly Used in Credit and Counterparty Risk Modeling 2. Poisson Processes 3. Estimation Techniques 4. Basic Definitions 5. Banking Regulation Before the Crisis 6. The Financial Crisis of the XXI-st Century 7. Credit Risk Regulation After the Crisis 8. Probability of Default (PD) 9. Loss Given Default (LGD) 10. Other Credit Risk Components and Portfolio Risk 11. Model Validation and Audit 12. EAD Modeling 13. EAD-Related Issues 14. Correlation-Driven Issues 15. Credit Risk Models 16. Sector Analysis 17. Estimating PD and LGD for Modeling Non-Performing Loans: The Case of Italy 18. The Case of Italy 19. Credit Default Swap (CDS) 20. Diversifying the Economy for Systemic Risk Reduction: The Case of the Kingdom of Saudi Arabia (KSA) 21. Systemic Risk Regulation

The book provides a comprehensive overview of credit risk modeling and management, utilizing a three-step approach combining mathematical and finance concepts. It begins by modeling credit risk parameters at individual debtor and transaction levels, then delves into counterparty credit risk, linking credit and market risks. The second stage focuses on portfolio level, where multiple loans are pooled and default correlation is crucial. Copulas are used to model this, and the final stage considers macro perspectives, where credit risks related to financial institutions can create systemic risk and affect overall financial stability. The book is two-dimensional, with all modeling steps using replicable programming codes in R and Matlab. It also discusses the regulatory environment at each stage, as regulation can have stricter constraints than internal models. The book is aimed at a wide audience, from finance professionals to economists interested in coding and financial engineering.