CreditRisk+ in the Banking Industry

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106,99 €

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Springer Finance

ISBN: 3540207384
ISBN 13: 9783540207382
Herausgeber: Matthias Gundlach/Frank Lehrbass
Verlag: Springer Verlag GmbH
Umfang: xii, 369 S., 46 s/w Illustr., 369 p. 46 illus.
Erscheinungsdatum: 18.06.2004
Auflage: 1/2004
Format: 2.4 x 24 x 16
Gewicht: 681 g
Produktform: Gebunden/Hardback
Einband: GEB

no competing book exists or is plannedthe group of authors included several of the orginal creators of the model CR+all authors are expert practitioners of credit risk modelsthe authors represent cumulative experience from several banks across the globethe book is timely! Banks worldwide are implementing risk measurement models to comply with the rules of the Basel II convention. Credit risk is a particularly sensitive topic.CR+ is based on mathematics that is available to everyone (articles and algorithms) and accessible to people with the scientific background usual for risk managers.CR+ provides good insight into important aspects of risk management.The book also looks at alternative ideas, comparing them critically against CR+Includes supplementary material: sn.pub/extras

Artikelnummer: 1823322 Kategorie:

Beschreibung

Inhaltsverzeichnis

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

Autorenporträt

Inhaltsangabe1 Introduction.- 2 Basics of CreditRisk+.- 3 Capital Allocation with CreditRisk+.- 4 Risk Factor Transformations Relating CreditRisk+ and CreditMetrics.- 5 Numerically Stable Computation of CreditRisk+.- 6 Enhanced CreditRisk+.- 7 Saddlepoint Approximation.- 8 Fourier Inversion Techniques for CreditRisk+.- 9 Incorporating Default Correlations and Severity Variations.- 10 Dependent Risk Factors.- 11 Integrating Rating Migrations.- 12 An Analytic Approach to Rating Transitions.- 13 Dependent Sectors and an Extension to Incorporate Market Risk.- 14 Econometric Methods for Sector Analysis.- 15 Estimation of Sector Weights from Real-World Data.- 16 Risk-Return Analysis of Credit Portfolios.- 17 Numerical Techniques for Determining Portfolio Credit Risk.- 18 Some Remarks on the Analysis of Asset-Backed Securities.- 19 Pricing and Hedging of Structured Credit Derivatives.

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