CreditRisk+ in the banking industry / Matthias Gundlach ... (eds.)

Contributor(s):

Gundlach, Matthias [Hrsg.]

Resource type: Ressourcentyp: BuchBookLanguage: English Series: Springer financePublisher: Berlin ; Heidelberg [u.a.] : Springer, 2004Description: XII, 369 S. : graph. DarstISBN:

9783540207382
3540207384

Other title:

plus

Subject(s):

Genre/Form:

Aufsatzsammlung

MSC: MSC: *91-06 | 91B30 | 00B15 | 91B28RVK: RVK: QK 320 | SK 980LOC classification:

HG3751

Summary: CreditRisk+ is an important and widely implemented default- mode model of portfolio credit risk, based on a methodology from acturial mathematics. This book gives an account of the status quo as well as new and recent developments of the credit risk model CreditRisk+, which is widespread in banking industry. Its purpose is to present an introduction to the model and its abilities to describe, manage and price credit risk. The book is intended for an audience of practitioners in banking and finance as well as graduate students and researchers in the field of finance mathematics and banking. It contains carefully refereed contributions from experts in the field, chosen in such a way that a consistent picture can be given. Topics in the book range from computational methods, extensions concerning special forms of credit business to statistical calibrations and practical implementations. A unified notation is applied in all contributions of this book. TOC:Introduction.- Basics of CreditRisk+.-Capital Allocation with CreditRisk+.- 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 SecuritiesCall number: Grundsignatur: 2017 A 2371PPN: PPN: 376074574

Holdings ( 2 )

Holdings
Item type	Home library	Collection	Shelving location	Call number	Status	Date due	Barcode	Item holds
Magazinbestand ausleihbar	Bibliothek Campus Süd	wirt 3.5	Geschlossenes Magazin	2017 A 2371	Available		51838676090
Freihandbestand ausleihbar	Fachbibliothek Mathematik		Bibliothek / frei aufgestellt	Fin./Vers. / Cre	Available		36321097090

Total holds: 0