CreditRisk+ in the Banking Industry

Name: CreditRisk+ in the Banking Industry
SKU: 2108667
Price: 291.99 AUD
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Hardback

Series:

Springer Finance

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Description

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.

Author Biography:

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.

Release date Australia

June 18th, 2004

Audience

Professional & Vocational

Contributors

Edited by Frank Lehrbass
Edited by Matthias Gundlach

Illustrations

46 Illustrations, black and white; XII, 369 p. 46 illus.

Pages

369

Series

Springer Finance

Dimensions

156x234x22

ISBN-13

9783540207382

Product ID

2108667

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CreditRisk+ in the Banking Industry

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