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CreditRisk+ in the Banking Industry

  • Matthias Gundlach
  • Frank Lehrbass

Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages I-XII
  2. Volker Matthias Gundlach, Frank Berthold Lehrbass
    Pages 1-6
  3. Volker Matthias Gundlach
    Pages 7-24
  4. Dirk Tasche
    Pages 25-43
  5. Hermann Haaf, Oliver Reiß, John Schoenmakers
    Pages 69-77
  6. Götz Giese
    Pages 79-90
  7. Michael B. Gordy
    Pages 91-110
  8. Nese Akkaya, Alexandre Kurth, Armin Wagner
    Pages 129-152
  9. Götz Giese
    Pages 153-165
  10. Frank Bröker, Stefan Schweizer
    Pages 167-185
  11. Carsten Binnenhei
    Pages 187-214
  12. Leif Boegelein, Alfred Hamerle, Michael Knapp, Daniel Rösch
    Pages 231-248
  13. Michael Lesko, Frank Schlottmann, Stephan Vorgrimler
    Pages 249-258
  14. Frank Schlottmann, Detlef Seese, Michael Lesko, Stephan Vorgrimler
    Pages 259-278
  15. Sandro Merino, Mark Nyfeler
    Pages 279-309
  16. Daniel Kluge, Frank B. Lehrbass
    Pages 311-323
  17. Martin Hellmich, Oliver Steinkamp
    Pages 325-362
  18. Back Matter
    Pages 363-369

About this book

Introduction

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.

Keywords

Asset Backed Securities Banking Banking Industry Credit Derivatives STATISTICA credit risk financial mathematics risk management

Editors and affiliations

  • Matthias Gundlach
    • 1
  • Frank Lehrbass
    • 2
  1. 1.Konzerncontrolling KreditrisikoAareal Bank AGWiesbadenGermany
  2. 2.Portfolio Management & Structured Investments, Credit TreasuryDeutsche Genossenschafts-Hypothekenbank AGHamburgGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-662-06427-6
  • Copyright Information Springer-Verlag Berlin Heidelberg 2004
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-642-05854-7
  • Online ISBN 978-3-662-06427-6
  • Series Print ISSN 1616-0533
  • Series Online ISSN 2195-0687
  • Buy this book on publisher's site