Christian Bluhm, Ludger Overbeck, Christoph Wagner

Introduction to Credit Risk Modeling

• Gebundenes Buch

Produktbeschreibung

Illustrating mathematical models for structured credit with practical examples, Introduction to Credit Risk Modeling provides an accessible introduction to the foundations of structured credit portfolio modeling. Updated and expanded, this second edition features additional material on estimation of asset correlations, benchmark correlations based on securitizations of benchmark portfolios in the market, risk contributions and spectral risk measures, nonhomogeneous Markov chain approaches, multi-year models, current agency models, single-tranche CDOs, index tranches, as well as new developments in synthetics. The text also includes new exercises and a supporting website.

Produktdetails

• Verlag: Taylor & Francis Ltd (Sales)
• 2nd edition
• Seitenzahl: 384
• Erscheinungstermin: 3. Juni 2010
• Englisch
• Abmessung: 241mm x 158mm x 27mm
• Gewicht: 773g
• ISBN-13: 9781584889922
• ISBN-10: 1584889926
• Artikelnr.: 29944880

Autorenporträt

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.

Inhaltsangabe

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.