Creditrisk+ in the banking industry银行业的信贷风险 2025 chm pdf kindle rb azw3 下载 115盘

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.

VIII Contents

9 Incorporating Default Correlations and Severity Variations

Nese Akkaya, Alexandre Kurth and Armin Wagner

10 Dependent Risk Factors

GStz Giese

11 Integrating Rating Migrations

Frank BrSker and Stefan Schweizer

12 An Analytic Approach to Rating Transitions

Carsten Binnenhei

13 Dependent Sectors and an Extension to Incorporate

Market Risk

Oliver ReifB

14 Econometric Methods for Sector Analysis

Leif Boegelein, Alfred Hamerle, Michael Knapp and Daniel RSsch

15 Estimation of Sector Weights from Real-World Data

Michael Lesko, Frank Sehlottmann 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

Index

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作者简介

　　Matthias Gundlach: Ph.D. in Mathematics (University of Warwick, UK), 8 years of research and teaching of mathematics (stochastics, dynamical systems, applied mathematics) at the University of Bremen (Germany), habilitation in mathematics (1999, University of Bremen). Since 2000 expert for credit risk modeling in Aareal Bank AG, Wiesbaden, Germany.

　　Frank Lehrbass: Ph.D. in Economics (University of Dortmund, FRG), 10 years of working experience in investment banking (index, equity, interest rate, hybrid, credit derivatives, trading systems & artificial intelligence) and credit risk management. Since 2002 Head of Portfolio Management / Structured Investments, Credit Treasury, Deutsche Genossenschafts-Hypothekenbank AG, Hamburg, Germany.