CreditRisk+ in the Banking Industry (eBook, PDF)

Redaktion: Gundlach, Matthias; Lehrbass, Frank

• Format: PDF

Produktbeschreibung

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.

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Produktdetails

• Verlag: Springer Berlin Heidelberg
• Seitenzahl: 369
• Erscheinungstermin: 14. März 2013
• Englisch
• ISBN-13: 9783662064276
• Artikelnr.: 53090754

Autorenporträt

  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.

Inhaltsangabe

From the 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

Rezensionen

From the reviews:

"It is an edited collection of articles written by practicing financial engineers about different applications and extensions of CreditRisk+. ... The book is quite technical, largely targeting financial engineers working in credit risk measurement. ... For financial engineers or researchers who want to understand CreditRisk+ and related techniques, this is the essential book." (www.riskbook.com, May, 2006)