An Introduction to Credit Risk ModelingCRC Press, 27.09.2002 - 297 Seiten In today's increasingly competitive financial world, successful risk management, portfolio management, and financial structuring demand more than up-to-date financial know-how. They also call for quantitative expertise, including the ability to effectively apply mathematical modeling tools and techniques. An Introduction to Credit Risk Modeling supplies both the bricks and the mortar of risk management. In a gentle and concise lecture-note style, it introduces the fundamentals of credit risk management, provides a broad treatment of the related modeling theory and methods, and explores their application to credit portfolio securitization, credit risk in a trading portfolio, and credit derivatives risk. The presentation is thorough but refreshingly accessible, foregoing unnecessary technical details yet remaining mathematically precise. Whether you are a risk manager looking for a more quantitative approach to credit risk or you are planning a move from the academic arena to a career in professional credit risk management, An Introduction to Credit Risk Modeling is the book you've been looking for. It will bring you quickly up to speed with information needed to resolve the questions and quandaries encountered in practice. |
Inhalt
I | 15 |
II | 16 |
III | 17 |
IV | 24 |
V | 27 |
VI | 28 |
VII | 29 |
VIII | 32 |
XLIV | 153 |
XLV | 154 |
XLVI | 156 |
XLVII | 160 |
XLVIII | 163 |
XLIX | 165 |
L | 166 |
LI | 171 |
IX | 33 |
X | 41 |
XI | 51 |
XII | 55 |
XIII | 56 |
XIV | 58 |
XV | 60 |
XVI | 62 |
XVII | 63 |
XIX | 65 |
XX | 66 |
XXI | 68 |
XXII | 71 |
XXIII | 75 |
XXIV | 81 |
XXV | 83 |
XXVII | 99 |
XXVIII | 101 |
XXIX | 103 |
XXX | 105 |
XXXI | 113 |
XXXII | 123 |
XXXIII | 124 |
XXXIV | 126 |
XXXV | 127 |
XXXVI | 133 |
XXXVII | 134 |
XXXVIII | 138 |
XXXIX | 141 |
XLI | 143 |
XLII | 149 |
XLIII | 150 |
LII | 172 |
LIII | 174 |
LIV | 175 |
LV | 177 |
LVI | 183 |
LVII | 186 |
LVIII | 188 |
LX | 189 |
LXI | 194 |
LXII | 205 |
LXIII | 211 |
LXIV | 212 |
LXV | 214 |
LXVI | 218 |
LXVII | 229 |
LXVIII | 232 |
LXIX | 237 |
LXX | 240 |
LXXI | 249 |
LXXII | 253 |
LXXIV | 260 |
LXXV | 264 |
LXXVI | 267 |
LXXVII | 268 |
LXXVIII | 269 |
LXXIX | 271 |
LXXX | 279 |
LXXXI | 280 |
LXXXII | 283 |
292 | |
Andere Ausgaben - Alle anzeigen
Introduction to Credit Risk Modeling Christian Bluhm,Ludger Overbeck,Christoph Wagner Eingeschränkte Leseprobe - 2016 |
An Introduction to Credit Risk Modeling Christian Bluhm,Ludger Overbeck,Christoph Wagner Keine Leseprobe verfügbar - 2002 |
Introduction to Credit Risk Modeling, Second Edition Christian Bluhm,Ludger Overbeck,Christoph Wagner Keine Leseprobe verfügbar - 2010 |
Häufige Begriffe und Wortgruppen
approach arbitrage asset correlation asset value model assume assumption average bank Bernoulli binomial distribution bond calculated calibration Chapter coherent risk measure collateral pool Collateralized Debt Obligations copula copula function correlated defaults counterparty credit default swaps credit derivatives credit portfolio credit risk models credit spread debt default correlation default frequencies default intensity default rates default risk defined denotes distribution function diversity score Equation equity example expected loss expected shortfall factor model Figure formula gamma distribution given independent industry and country investors loans loss distribution loss variables matrix means migration mixture models Moody's multivariate negative binomial distribution normal distribution notes obligor one-year default parameters payment portfolio loss portfolio model Proposition put option quantile random variable rating class reference asset risk management risk measure risk-free risk-neutral scenarios Section sector securitization stochastic t-copula t-distribution term structure tion tranche transaction underlying volatility
Verweise auf dieses Buch
Structured Credit Portfolio Analysis, Baskets and CDOs Christian Bluhm,Ludger Overbeck Eingeschränkte Leseprobe - 2006 |