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CreditRisk+ in the Banking Industry : Springer Finance - Matthias Gundlach

CreditRisk+ in the Banking Industry

Springer Finance

By: Matthias Gundlach (Editor), Frank Lehrbass (Editor)

Hardcover Published: 18th June 2004
ISBN: 9783540207382
Number Of Pages: 369

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

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)

Introductionp. 1
Basics of CreditRisk[superscript +]p. 7
Capital allocation with CreditRisk[superscript +]p. 25
Risk factor transformations relating CreditRisk[superscript +] and CreditMetricsp. 45
Numerically stable computation of CreditRisk[superscript +]p. 69
Enhanced CreditRisk[superscript +]p. 79
Saddlepoint approximationp. 91
Fourier inversion techniques for CreditRisk[superscript +]p. 111
Incorporating default correlations and severity variationsp. 129
Dependent risk factorsp. 153
Integrating rating migrationsp. 167
An analytic approach to rating transitionsp. 187
Dependent sectors and an extension to incorporate market riskp. 215
Econometric methods for sector analysisp. 231
Estimation of sector weights from real-world datap. 249
Risk-return analysis of credit portfoliosp. 259
Numerical techniques for determining portfolio credit riskp. 279
Some remarks on the analysis of asset-backed securitiesp. 311
Pricing and hedging of structured credit derivativesp. 325
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9783540207382
ISBN-10: 3540207384
Series: Springer Finance
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 369
Published: 18th June 2004
Publisher: Springer-Verlag Berlin and Heidelberg Gmbh & Co. Kg
Country of Publication: DE
Dimensions (cm): 23.5 x 15.5  x 1.91
Weight (kg): 1.59