An Introduction to Credit Risk Modeling

Christian Bluhm, Ludger Overbeck, Christoph Wagner

298 pages, parution le 29/11/2002

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Résumé

In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques.

An Introduction to Credit Risk Modeling supplies both the bricks and the mortar of risk management. In a gentle and concise lecture-note style, it introduces the fundamentals of credit risk management, provides a broad treatment of the related modeling theory and methods, and explores their application to credit portfolio securitization, credit risk in a trading portfolio, and credit derivatives risk. The presentation is thorough but refreshingly accessible, foregoing unnecessary technical details yet remaining mathematically precise.

Whether you are a risk manager looking for a more quantitative approach to credit risk or you are planning a move from the academic arena to a career in professional credit risk management, An Introduction to Credit Risk Modeling is the book you've been looking for. It will bring you quickly up to speed with information needed to resolve the questions and quandaries encountered in practice.

Features

Concisely presents the most fundamental and up-to-date concepts of credit portfolio management
Introduces modeling frameworks such as KMV, CreditMetrics, and CreditRisk+
Presents best practices in credit risk modeling
Keeps mathematical proofs to a minimum while remaining mathematically solid.

Contents

1.The Basics Of Credit Risk Management

Expected Loss
Unexpected Loss
Regulatory Capital and the Basel Initiative

2.Modelling Correlated Defaults

The Bernoulli Model
The Poisson Model
Bernoulli Versus Poisson Mixture
An Overview of Today's Industry Models
One-Factor/Sector Models
Loss Distributions by Means of Copula Functions
Working Example: Estimation of Asset Correlations

3.Asset Value Models

Introduction and A Small Guide to the Literature
A Few Words About Calls and Puts
Merton's Asset Value Model
Transforming Equity into Asset Values: A Working Approach

4.The CreditRisk+ Model

The Modeling Framework of CreditRisk+
Construction Step 1: Independent Obligors
Construction Step 2: Sector Model

5.Alternative Risk Measures And Capital Allocation

Coherent Risk Measures and Conditional Shortfall
Contributory Capital

6.Term Structure Of Default Probability

Survival Function and Hazard Rate
Risk-neutral vs. Actual Default Probabilities
Term Structure Based on Historical Default Information
Term Structure Based on Market Spreads

7.Credit Derivatives

Total Return Swaps
Credit Default Products
Basket Credit Derivatives
Credit Spread Products
Credit-Linked Notes

8.Collateralized Debt Obligations

Introduction to Collateralized Debt Obligations
Different Roles of Banks in the ABS market
CDOs from the Modeling Point of View
Rating Agency Models: Moody's BET
Conclusion
Some Remarks on the Literature

L'auteur - Christian Bluhm

Hypovereinsbank, Munich, Germany

L'auteur - Ludger Overbeck

Deutsche Bank AG, Frankfurt, Germany

L'auteur - Christoph Wagner

Allianz Group, Munich, Germany

Caractéristiques techniques

	PAPIER
Éditeur(s)	Chapman and Hall / CRC
Auteur(s)	Christian Bluhm, Ludger Overbeck, Christoph Wagner
Parution	29/11/2002
Nb. de pages	298
Format	16 x 24
Couverture	Relié
Poids	587g
Intérieur	Noir et Blanc
EAN13	9781584883265
ISBN13	978-1-58488-326-5