CreditRisk[+] in the banking industry
Author(s)
Bibliographic Information
CreditRisk[+] in the banking industry
（Springer finance）
Springer, c2004
- : softcover
- Other Title
-
CreditRisk+ in the banking industry
Available at / 14 libraries
-
Library, Research Institute for Mathematical Sciences, Kyoto University数研
GUN||10||1200003619185
-
No Libraries matched.
- Remove all filters.
Note
"[+]" is superscript
"Softcover reprint of the hardcover 1st edition 2004"--T.p. verso
Includes bibliographical references and index
Description and Table of Contents
Description
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.
Table of Contents
1 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.
by "Nielsen BookData"