Creditrisk+ in the banking industry銀行業(yè)的信貸風(fēng)險(xiǎn)

內(nèi)容概要

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.

書籍目錄

VIII   Contents9 Incorporating Default Correlations and Severity VariationsNese Akkaya, Alexandre Kurth and Armin Wagner10 Dependent Risk FactorsGStz Giese11 Integrating Rating MigrationsFrank BrSker and Stefan Schweizer12 An Analytic Approach to Rating TransitionsCarsten Binnenhei13 Dependent Sectors and an Extension to IncorporateMarket RiskOliver ReifB14 Econometric Methods for Sector AnalysisLeif Boegelein, Alfred Hamerle, Michael Knapp and Daniel RSsch15 Estimation of Sector Weights from Real-World DataMichael Lesko, Frank Sehlottmann and Stephan Vorgrimler16 Risk-Return Analysis of Credit PortfoliosFrank Schlottmann, Detlef Seese, Michael Lesko and Stephan Vorgrimler17 Numerical Techniques for Determining Portfolio CreditRiskSandro Merino and Mark Nyfeler18 Some Remarks on the Analysis of Asset-Backed SecuritiesDaniel Kluge and Frank B. Lehrbass19 Pricing and Hedging of Structured Credit DerivativesMartin Hellmich and Oliver SteinkampIndex

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