CreditRisk+ in the banking industry

CreditRisk+ is an important and widely implemented default- mode model of portfolio credit risk, based on a methodology from acturial mathematics. This book gives an account of the status quo as well as new and recent developments of the credit risk model CreditRisk+, which is widespread in banking...

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Weitere Verfasser:	Gundlach, Matthias (HerausgeberIn)
Format:	UnknownFormat
Sprache:	eng
Veröffentlicht:	Berlin, Heidelberg u.a. Springer 2004
Schriftenreihe:	Springer finance
Schlagworte:	Kreditrisiko > Risikomanagement > Portfolio-Management > Theorie > Credit > Management > Bank loans > Risk management > Aufsatzsammlung > Portfolio Selection
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Titel	Jahr	Verfasser
Dependent risk factors	2004	Giese, Götz
Pricing and hedging of structured credit derivatives	2004	Hellmich, Martin
Basics of credit risk+	2004	Gundlach, Volker Matthias
Capital allocation with CreditRisk+	2004	Tasche, Dirk
Numerically stable computation of CreditRisk+	2004	Haaf, Hermann
Enhanced CreditRisk+	2004	Giese, Götz
Dependent sectors and extension to incorporate market risk	2004	Reiß, Oliver
Risk factor transformations relating CreditRisk+ and CreditMetrics	2004	Wieczerkowski, Christian
Saddlepoint approximation	2004	Gordy, Michael B.
An analytic approach to rating transitions	2004	Binnenhei, Carsten
Econometric methods for sector analysis	2004
Estimation of sector weights from real-world data	2004	Lesko, Michael
Numerical techniques for determining portfolio credit risk	2004	Merino, Sandro
Fourier inversion techniques for CreditRisk+	2004	Reiß, Oliver
Incorporating default correlations and severity variations	2004	Akkaya, Nese
Integrating rating migrations	2004	Bröker, Frank
Risk-return analysis of credit portfolios	2004
Some remarks on the analysis of asset-backed securities	2004	Kluge, Daniel

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