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Creditrisk+ in the Banking Industry (Springer Finance)

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Synopses & Reviews

Publisher Comments:

CreditRisk+ is a 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. This timely book will be an indispensable tool.

About the Author

  Matthias Gundlach: Ph.D. in Mathematics (University of Warwick, UK), 8 years of research and teaching of mathematics (stochastics, dynamical systems, applied mathematics) at the University of Bremen (Germany), habilitation in mathematics (1999, University of Bremen). Since 2000 expert for credit risk modeling in Aareal Bank AG, Wiesbaden, Germany. Frank Lehrbass: Ph.D. in Economics (University of Dortmund, FRG), 10 years of working experience in investment banking (index, equity, interest rate, hybrid, credit derivatives, trading systems & artificial intelligence) and credit risk management. Since 2002 Head of Portfolio Management / Structured Investments, Credit Treasury, Deutsche Genossenschafts-Hypothekenbank AG, Hamburg, Germany.

Table of Contents

Introduction.- Basics of CreditRisk+.- Capital Allocation with CreditRisk+.- Risk 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.- Pricing and Hedging of Structured Credit Derivatives.- Index

Product Details

ISBN:
9783642058547
Author:
Gundlach, Matthias
Publisher:
Springer
Author:
Lehrbass, Frank
Location:
Berlin, Heidelberg
Subject:
Finance
Subject:
MSC (2000): 91B28, 91B30, 60-08, 60E99
Subject:
Credit Risk
Subject:
financial mathematics
Subject:
Risk management
Subject:
Quantitative Finance <P>*no competing book exists or is planned</P> <P>*the group of authors included several of the orginal creators of the model CR+</P> <P>*all authors are expert practitioners of credit risk models </P> <P>*the authors represent cumula
Subject:
Business-Accounting and Finance
Subject:
Game Theory
Subject:
Quantitative Finance
Subject:
Applied
Subject:
Mathematics
Subject:
B
Subject:
mathematics and statistics
Copyright:
Edition Description:
Softcover reprint of hardcover 1st ed. 2004
Series:
Springer Finance
Publication Date:
20101201
Binding:
TRADE PAPER
Language:
English
Pages:
381
Dimensions:
235 x 155 mm 579 gr

Related Subjects

Business » Accounting and Finance
Business » Banking
Engineering » Civil Engineering » General
Science and Mathematics » Mathematics » Applied

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