CreditRisk+ in the Banking Industry

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Matthias Gundlach, Frank Lehrbass
Springer Science & Business Media, Jun 18, 2004 - Business & Economics - 369 pages
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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.

 

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Contents

Introduction
1
Basics of CreditRisk+
7
Capital Allocation with CreditRisk+
25
Risk Factor Transformations Relating CreditRisk+ and CreditMetrics
45
Numerically Stable Computation of CreditRisk+
69
Enhanced CreditRisk+
79
Saddlepoint Approximation
91
Fourier Inversion Techniques for CreditRisk+
111
An Analytic Approach to Rating Transitions
187
Dependent Sectors and an Extension to Incorporate Market Risk
215
Econometric Methods for Sector Analysis
231
Estimation of Sector Weights from RealWorld Data
249
RiskReturn Analysis of Credit Portfolios
259
Numerical Techniques for Determining Portfolio Credit Risk
279
Some Remarks on the Analysis of AssetBacked Securities
311
Pricing and Hedging of Structured Credit Derivatives
325

Incorporating Default Correlations and Severity Variations
129
Dependent Risk Factors
153
Integrating Rating Migrations
167

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About the author (2004)

 

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.

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