CreditRisk+ in the Banking Industry /
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 use...
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| Format: | eBook |
| Language: | English |
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Berlin, Heidelberg :
Springer Berlin Heidelberg,
2004.
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| Series: | Springer finance.
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| Online Access: | Connect to the full text of this electronic book |
Table of Contents:
- 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.