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Lehrbass / Gundlach

CreditRisk+ in the Banking Industry

Medium: Buch
ISBN: 978-3-642-05854-7
Verlag: Springer
Erscheinungstermin: 06.12.2010
Lieferfrist: bis zu 10 Tage
CreditRisk+ is an important and widely implemented default-mode model of portfolio credit risk, based on a methodology borrowed from actuarial mathematics. This book gives an account of the status quo as well as of new and recent developments of the credit risk model CreditRisk+, which is widely used in the banking industry. It gives an introduction to the model itself and to its ability to describe, manage and price credit risk. The book is intended for an audience of practitioners in banking and finance, as well as for graduate students and researchers in the field of financial mathematics and banking. It contains carefully refereed contributions from experts in the field, selected for mutual consistency and edited for homogeneity of style, notation, etc. The discussion ranges from computational methods and extensions for special forms of credit business to statistical calibrations and practical implementations. This unique and timely book constitutes an indispensable tool for both practitioners and academics working in the evaluation of credit risk.

Produkteigenschaften


  • Artikelnummer: 9783642058547
  • Medium: Buch
  • ISBN: 978-3-642-05854-7
  • Verlag: Springer
  • Erscheinungstermin: 06.12.2010
  • Sprache(n): Englisch
  • Auflage: 1. Auflage. Softcover version of original hardcover Auflage 2004
  • Serie: Springer Finance
  • Produktform: Kartoniert, Paperback
  • Gewicht: 581 g
  • Seiten: 369
  • Format (B x H x T): 155 x 235 x 21 mm
  • Ausgabetyp: Kein, Unbekannt

Autoren/Hrsg.

Herausgeber

Lehrbass, Frank

Gundlach, Matthias

1 Introduction.- 2 Basics of CreditRisk+.- 3 Capital Allocation with CreditRisk+.- 4 Risk Factor Transformations Relating CreditRisk+ and CreditMetrics.- 5 Numerically Stable Computation of CreditRisk+.- 6 Enhanced CreditRisk+.- 7 Saddlepoint Approximation.- 8 Fourier Inversion Techniques for CreditRisk+.- 9 Incorporating Default Correlations and Severity Variations.- 10 Dependent Risk Factors.- 11 Integrating Rating Migrations.- 12 An Analytic Approach to Rating Transitions.- 13 Dependent Sectors and an Extension to Incorporate Market Risk.- 14 Econometric Methods for Sector Analysis.- 15 Estimation of Sector Weights from Real-World Data.- 16 Risk-Return Analysis of Credit Portfolios.- 17 Numerical Techniques for Determining Portfolio Credit Risk.- 18 Some Remarks on the Analysis of Asset-Backed Securities.- 19 Pricing and Hedging of Structured Credit Derivatives.