Introductory References for Banking Credit Risk Management
Summary
This exchange recommends books for a reader seeking an accessible introduction to credit risk management in banking. The question highlights exposure at default, probability of default, loss given default, risk-weighted assets, and regulatory frameworks as desired topics, with an emphasis on concepts and calculations that are not overly mathematical.
One response recommends a book on risk management and shareholder value in banking, describing its mathematical level as manageable and its coverage as extending across credit risk models available in the edition discussed. Another points to a broader investment-bank risk management text that includes credit risk. These are recommendations based on the respondents’ experience, not a comparison or detailed review of the books. The exchange does not verify coverage of specific regulatory rules or establish whether newer editions address developments after publication, so readers should check the contents and edition before relying on either reference.
Key ideas
- The recommended books introduce credit risk within broader banking risk management.
- One suggested text connects risk measurement models with capital allocation policies.
- A second recommendation covers several risk areas at investment banks, including credit risk.
- The exchange offers personal recommendations rather than a detailed evaluation of content or editions.
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Full text
# Book recommendation for credit risk management for banking # Book recommendation for credit risk management for banking 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. ## Answer by Quantopik (score 3, accepted) https://quant.stackexchange.com/a/17595 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. ## Answer by lehalle (score 4) https://quant.stackexchange.com/a/17616 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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