Advanced Credit Risk Analysis and Management by Ciby Joseph

Book reviews

Advanced Credit Risk Analysis and

Management

BY Ciby Joseph; John Wiley & Sons,

Chichester; 2013;

ISBN 978 1-118-60491-5; 427 pp.

Credit risk has been always considered to be the

basic type of risk. It was the first risk addressed in

Basel regulations in 1988. The dynamic development

of credit risk analysis tools started to occur in the last

decade of the previous century when several

important proprietary models were developed,

including KMV, Creditmetrics, Credit Risk Plus, to

mention just a few. This period was also

characterised by the launch of credit derivatives

designed to mitigate credit risk.

Despite its basic nature and relatively high progress

in analytical methods, credit risk has been one of the

main causes of bank failures, the subprime crisis in

US being the most spectacular example. It seems that

there is a need to ensure that the relatively advanced

and sophisticated credit risk analysis tools are used

effectively in common practice, while at the same

time paying careful attention to model risk.

This book by Ciby Joseph, a credit expert with

years of banking experience, is strongly practice

oriented. As the author writes in the preface, the

book is meant to be ‘a thorough and comprehensive

treatment of credit risk directed to a relatively wide

audience’.

The material contained in this book is structured

in 25 chapters, divided into eight parts. The first part

discusses the foundations of the credit risk

management process, distinguishing between

financial institutions and non-financial firms. It gives

a valuable