## CreditRisk+ in the Banking IndustryMatthias Gundlach, Frank Lehrbass 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 |

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### References to this book

Kreditderivate und Kreditrisikomodelle Marcus R. W. Martin,Stefan Reitz,Carsten Wehn No preview available - 2006 |