"The book offers an overview of credit risk modeling and management. A three-step approach is adopted with the contents, after introducing the essential concepts of both mathematics and finance. Initially the focus is on the modeling of credit risk parameters mainly at the level of individual...

The world financial crisis of 2008-2009 has shown that the existence of systemically important financial institutions (SIFIs) poses serious policy challenges to both developed and developing economies’ authorities. As for now there are different approaches to identifying SIFIs focused on...

The paper aims at finding the most optimal individual, collective, and combined yield curve forecasting models. It is shown that incorporating macroeconomic information improves the model's goodness-of-fit characteristics. It is also proved that combined forecasts perform better on average when...

Although the probability of default (PD) modeling has reached a great maturity in both academia and business, for the Italian case we demonstrate that banks' available PD models would be misleading if today applied directly to Italian banks. We argue that what determines the PD of Italian banks,...