CreditRisk+ in the Banking Industry

Matthias Gundlach, Frank Lehrbass

370 pages, parution le 29/06/2004

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Résumé

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 and indispensable tool for both practitioners and academics working in the evaluation of credit risk.

Written for:
Practitioners who use CreditRisk+ in banking and finance

Sommaire

Introduction
Basics of CreditRisk+
Capital Allocation with CreditRisk+
Risk Factor Transformations Relating CredïtRisk+ 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 Portfolio Credit Risk
Some Remarks on the Analysis of Asset-Backed Securities
Pricing and Hedging of Structured Credit Derivatives

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Matthias Gundlach, Frank Lehrbass
Parution	29/06/2004
Nb. de pages	370
Format	16 x 24
Couverture	Relié
Poids	690g
Intérieur	Noir et Blanc
EAN13	9783540207382