MARC Record from harvard_bibliographic_metadata

LEADER: 03233nam a22004335a 4500
001 013842657-0
005 20131206203100.0
008 130125s2004 gw | s ||0| 0|eng d
020 $a9783662064276
020 $a9783662064276
020 $a9783642058547
024 7 $a10.1007/978-3-662-06427-6$2doi
035 $a(Springer)9783662064276
040 $aSpringer
050 4 $aHB135-147
072 7 $aKF$2bicssc
072 7 $aMAT003000$2bisacsh
072 7 $aBUS027000$2bisacsh
082 04 $a519$223
100 1 $aGundlach, Matthias,$eeditor.
245 10 $aCreditRisk+ in the Banking Industry /$cedited by Matthias Gundlach, Frank Lehrbass.
264 1 $aBerlin, Heidelberg :$bSpringer Berlin Heidelberg :$bImprint: Springer,$c2004.
300 $aXII, 369 p.$bonline resource.
336 $atext$btxt$2rdacontent
337 $acomputer$bc$2rdamedia
338 $aonline resource$bcr$2rdacarrier
347 $atext file$bPDF$2rda
490 1 $aSpringer Finance,$x1616-0533
505 0 $aIntroduction -- Basics of CreditRisk+ -- Capital Allocation with CreditRisk+ -- Risk Factor Transformations Relating CreditRisk+and CreditMetrics -- Numerically Stable Computation of CreditRisk+ -- Enhanced CreditRisk+ -- Saddlepoint Approximation -- Fourier Inversion Techniques for CreditRisk+ -- Incorporating Default Correlations and Severity Variations -- Dependent Risk Factors -- Integrating Rating Migrations -- An Analytic Approach to Rating Transitions -- Dependent Sectors and an Extension to Incorporate Market Risk -- Econometric Methods for Sector Analysis -- Estimation of Sector Weights from Real-World Data -- Risk-Return Analysis of Credit Portfolios -- Numerical Techniques for Determining and Allocating Portfolio Credit Risk -- Some Remarks on the Analysis of Asset Backed Securities -- Pricing and Hedging of Structured Credit Derivatives -- Index.
520 $aCreditRisk+ 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.
650 10 $aMathematics.
650 0 $aMathematics.
650 0 $aFinance.
650 24 $aQuantitative Finance.
700 1 $aLehrbass, Frank,$eeditor.
776 08 $iPrinted edition:$z9783642058547
830 0 $aSpringer Finance.
988 $a20131119
906 $0VEN