Product Description

CreditRisk+ is an important and widely implemented default-mode model of portfolio credit risk, based on a methodology from acturial mathematics. This book gives an account of the status quo as well as new and recent developments of the credit risk model CreditRisk+, which is widespread in banking industry. Its purpose is to present an introduction to the model and its abilities to describe, manage and price credit risk. The book is intended for an audience of practitioners in banking and finance as well as graduate students and researchers in the field of finance mathematics and banking. It contains carefully refereed contributions from experts in the field, chosen in such a way that a consistent picture can be given. Topics in the book range from computational methods, extensions concerning special forms of credit business to statistical calibrations and practical implementations. A unified notation is applied in all contributions of this book.

Product Details

• Amazon Sales Rank: #680668 in Books
• Published on: 2004-11-19
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 369 pages

Review

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)

About the Author

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.