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Credit Risk Portfolio Modeling: An Overview

  • Ludger Overbeck

Keywords

Risk Measure Credit Risk Business Unit Economic Capital Default Probability 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

  1. Artzner P, Delbaen F, Eber J, Heath D (1997) Thinking Coherently. RISK 10(11)Google Scholar
  2. Bluhm C, Overbeck L, Wagner C (2003) An Introduction to Credit Risk Modeling. Chapman Hall/CRCGoogle Scholar
  3. Bluhm C, Overbeck L (2004) CDO-Modeling. DraftGoogle Scholar
  4. Credit Risk+. Technical Document. Credit Suisse Financial Products.Google Scholar
  5. Credit Metrics. Technical Document. Risk Metrics Group.Google Scholar
  6. Gordy M (2001) A Risk Factor Model Foundation for Ratings-Based Bank Capital Rules. Draft. FebruaryGoogle Scholar
  7. Kalkbrener M (2003) Axiomatic Approach to Capital Allocation. PreprintGoogle Scholar
  8. Kalkbrener M, Lotter H, Overbeck L (2004) Sensible and efficient capital allocation for credit portfolios. RISK 1, 2004Google Scholar
  9. Merton R (1974) On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. The Journal of Finance 29, pp. 449–470Google Scholar
  10. Tasche D (1999) Risk Contributions and Performance Measures. http://www.ma.tum.de/stat/Google Scholar
  11. Vasicek OA (1987,1991) Probability of Loss on Loan Portfolio. KMV CorporationGoogle Scholar

Copyright information

© Springer Berlin · Heidelberg 2005

Authors and Affiliations

  • Ludger Overbeck
    • 1
  1. 1.Justus-Liebig University GiessenGermany

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