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Title CreditRisk+ in the banking industry / Matthias Gundlach, Frank Lehrbass (Eds.)
Published Berlin ; London : Springer, 2004


Location Call no. Vol. Availability
 MELB  332.1 Gun/Cpi  AVAILABLE
Description xii, 369 pages : illustrations ; 24 cm
Series Springer finance
Springer finance.
Contents 1. Introduction / Volker Matthias Gundlach and Frank Berthold Lehrbass -- 2. Basics of CreditRisk[superscript +] / Volker Matthias Gundlach -- 3. Capital allocation with CreditRisk[superscript +] / Dirk Tasche -- 4. Risk factor transformations relating CreditRisk[superscript +] and CreditMetrics / Christian Wieczerkowski -- 5. Numerically stable computation of CreditRisk[superscript +] / Hermann Haaf, Oliver Reiss and John Schoenmakers -- 6. Enhanced CreditRisk[superscript +] / Gotz Giese -- 7. Saddlepoint approximation / Michael B. Gordy -- 8. Fourier inversion techniques for CreditRisk[superscript +] / Oliver Reiss -- 9. Incorporating default correlations and severity variations / Nese Akkaya, Alexandre Kurth and Armin Wagner -- 10. Dependent risk factors / Gotz Giese -- 11. Integrating rating migrations / Frank Broker and Stefan Schweizer -- 12. An analytic approach to rating transitions / Carsten Binnenhei -- 13. Dependent sectors and an extension to incorporate market risk / Oliver Reiss -- 14. Econometric methods for sector analysis / Leif Boegelein, Alfred Hamerle, Michael Knapp and Daniel Rosch -- 15. Estimation of sector weights from real-world data / Michael Lesko, Frank Schlottmann and Stephan Vorgrimler -- 16. Risk-return analysis of credit portfolios / Frank Schlottmann, Detlef Seese, Michael Lesko and Stephan Vorgrimler -- 17. Numerical techniques for determining portfolio credit risk / Sandro Merino and Mark Nyfeler -- 18. Some remarks on the analysis of asset-backed securities / Daniel Kluge and Frank B. Lehrbass -- 19. Pricing and hedging of structured credit derivatives / Martin Hellmich and Oliver Steinkamp
Summary "This book gives an account of the status quo as well as of new and recent developments of the credits risk model CreditRisk[superscript +], 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 solicited, carefully refereed contributions from experts in the fields, 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 timely book constitutes is a tool for both practitioners and academics working in the evaluation of credit risk."--BOOK JACKET
Notes Formerly CIP. Uk
Bibliography Includes bibliographical references and index
Subject Banks and banking.
Bank loans.
Credit -- Management.
Risk management.
Genre/Form Aufsatzsammlung
Author Gundlach, Mattjoas
Lehrbass, Frank.
LC no. 2004104244
ISBN 3540207384
Other Titles Credit risk+ in the banking industry