Aufsatzsammlung
CreditRisk+ in the banking industry
CreditRisk+ is an important and widely implemented default- mode model of portfolio credit risk, based on a methodology from acturial mathematics. This book gives an account of the status quo as well as new and recent developments of the credit risk model CreditRisk+, which is widespread in banking industry. Its purpose is to present an introduction to the model and its abilities to describe, manage and price credit risk. The book is intended for an audience of practitioners in banking and finance as well as graduate students and researchers in the field of finance mathematics and banking. It contains carefully refereed contributions from experts in the field, chosen in such a way that a consistent picture can be given. Topics in the book range from computational methods, extensions concerning special forms of credit business to statistical calibrations and practical implementations. A unified notation is applied in all contributions of this book. TOC:Introduction.- Basics of CreditRisk+.-Capital Allocation with CreditRisk+.- Factor Transformations Relating CreditRisk+and CreditMetrics.- Numerically Stable Computation of CreditRisk+.- Enhanced CreditRisk+.- Saddlepoint Approximation.- Fourier Inversion Techniques for CreditRisk+.- Incorporating Default Correlations and Severity Variations.- Dependent Risk Factors.- Integrating Rating Migrations.- An Analytic Approach to Rating Transitions.- Dependent Sectors and an Extension to Incorporate Market Risk.- Econometric Methods for Sector Analysis.- Estimation of Sector Weights from Real-World Data.- Risk-Return Analysis of Credit Portfolios.- Numerical Techniques for Determining and Allocating Portfolio Credit Risk.- Some Remarks on the Analysis of Asset Backed Securities.
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- ISBN
-
9783540207382
3540207384
- Dimensions
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24 cm
- Extent
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XII, 369 S.
- Language
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Englisch
- Notes
-
graph. Darst.
Literaturangaben
- Classification
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Wirtschaft
- Keyword
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Kreditrisiko
Risikomanagement
Portfolio Selection
- Event
-
Veröffentlichung
- (where)
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Berlin, Heidelberg, New York, Hong Kong, London, Milan, Paris, Tokyo
- (who)
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Springer
- (when)
-
2004
- Contributor
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Gundlach, Matthias
- Table of contents
- Rights
-
Bei diesem Objekt liegt nur das Inhaltsverzeichnis digital vor. Der Zugriff darauf ist unbeschränkt möglich.
- Last update
-
11.03.2025, 12:12 PM CET
Data provider
Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Object type
- Aufsatzsammlung
Associated
- Gundlach, Matthias
- Springer
Time of origin
- 2004
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