Overview
CreditRisk+ 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.
Full Product Details
Author: Matthias Gundlach ,
Frank Lehrbass
Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition: 2004 ed.
Dimensions:
Width: 15.50cm
, Height: 2.20cm
, Length: 23.50cm
Weight: 1.590kg
ISBN: 9783540207382
ISBN 10: 3540207384
Pages: 369
Publication Date: 18 June 2004
Audience:
Professional and scholarly
,
Professional & Vocational
Format: Hardback
Publisher's Status: Active
Availability: In Print
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Reviews
From the reviews: <p> It is an edited collection of articles written by practicing financial engineers about different applications and extensions of CreditRisk+. a ] The book is quite technical, largely targeting financial engineers working in credit risk measurement. a ] For financial engineers or researchers who want to understand CreditRisk+ and related techniques, this is the essential book. (www.riskbook.com, May, 2006)
From the reviews: It is an edited collection of articles written by practicing financial engineers about different applications and extensions of CreditRisk+. ... The book is quite technical, largely targeting financial engineers working in credit risk measurement. ... For financial engineers or researchers who want to understand CreditRisk+ and related techniques, this is the essential book. (www.riskbook.com, May, 2006)
Author Information
Matthias Gundlach: Ph.D. in Mathematics (University of Warwick, UK), 8 years of research and teaching of mathematics (stochastics, dynamical systems, applied mathematics) at the University of Bremen (Germany), habilitation in mathematics (1999, University of Bremen). Since 2000 expert for credit risk modeling in Aareal Bank AG, Wiesbaden, Germany. Frank Lehrbass: Ph.D. in Economics (University of Dortmund, FRG), 10 years of working experience in investment banking (index, equity, interest rate, hybrid, credit derivatives, trading systems & artificial intelligence) and credit risk management. Since 2002 Head of Portfolio Management / Structured Investments, Credit Treasury, Deutsche Genossenschafts-Hypothekenbank AG, Hamburg, Germany.
