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Introduction to Credit Risk Modeling

TaschenbuchKartoniert, Paperback
Englisch
Taylor & Francis Ltderscheint am14.10.2024
While continuing to focus on common mathematical approaches to model credit portfolios, this second edition presents updates on model developments that have occurred since the publication of the best-selling first edition. It contains a new section on multi-period models and discusses recent developments in structured credit. Along with many wormehr
Verfügbare Formate
BuchGebunden
EUR232,50
TaschenbuchKartoniert, Paperback
EUR58,00
E-BookPDF0 - No protectionE-Book
EUR62,49

Produkt

KlappentextWhile continuing to focus on common mathematical approaches to model credit portfolios, this second edition presents updates on model developments that have occurred since the publication of the best-selling first edition. It contains a new section on multi-period models and discusses recent developments in structured credit. Along with many wor
Details
ISBN/GTIN978-1-032-92079-5
ProduktartTaschenbuch
EinbandartKartoniert, Paperback
Erscheinungsjahr2024
Erscheinungsdatum14.10.2024
SpracheEnglisch
MasseBreite 156 mm, Höhe 234 mm
Artikel-Nr.17329482
Rubriken
GenreWirtschaft

Inhalt/Kritik

Inhaltsverzeichnis
The Basics of Credit Risk Management. Modeling Correlated Defaults. Asset Value Models. The CreditRisk+ Model. Risk Measures and Capital Allocation. Term Structure of Default Probability. Credit Derivatives. Collateralized Debt Obligations. References. Index.mehr

Autor

Over the years, Christian Bluhm has worked for Deutsche Bank, McKinsey, HypoVereinsbank's Group Credit Portfolio Management, and Credit Suisse. He earned a Ph.D. in mathematics from the University of Erlangen-Nürnberg.

Ludger Overbeck is a professor of probability theory and quantitative finance and risk management in the Institute of Mathematics at the University of Giessen. During his career, he worked for Deutsche Bundesbank, Deutsche Bank, HypoVereinsbank/UniCredit, DZBank, and Commerzbank. He earned a Ph.D. in mathematics from the University of Bonn.

Christoph Wagner has worked for Deutsche Bank, Allianz Group Center, UniCredit/HypoVereinsbank, and Allianz Risk Transfer. He earned a Ph.D. in statistical physics from the Technical University of Munich.