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Introduction to Credit Risk Modeling (eBook, PDF) - Bluhm, Christian; Overbeck, Ludger; Wagner, Christoph
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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 worked out examples and numerical results, this edition also includes an expanded section on techniques for the generation of loss distributions as well as discussions of new topics, such as spectral risk measures, an axiomatic approach to capital allocation, and nonhomogeneous Markov chains.…mehr

Produktbeschreibung
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 worked out examples and numerical results, this edition also includes an expanded section on techniques for the generation of loss distributions as well as discussions of new topics, such as spectral risk measures, an axiomatic approach to capital allocation, and nonhomogeneous Markov chains.

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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-Nurnberg.

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.