Christian Bluhm, Ludger Overbeck, Christoph Wagner

Introduction to Credit Risk Modeling (eBook, PDF)

• Format: PDF

Produktbeschreibung

Contains Nearly 100 Pages of New MaterialThe recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model credit portfolios, Introduction to Credit Risk Modelin

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Produktdetails

• Verlag: Taylor & Francis eBooks
• Seitenzahl: 384
• Erscheinungstermin: 19. April 2016
• Englisch
• ISBN-13: 9781584889939
• Artikelnr.: 56962534

Autorenporträt

Over the years, Christian Bluhm has worked for Deutsche Bank, McKinsey, HypoVereinsbank's Group Credit Portfolio Management, and Credit Suisse. He earned a Ph.D. in mathematics from the University of Erlangen-Nurnberg.

Ludger Overbeck is a professor of probability theory and quantitative finance and risk management in the Institute of Mathematics at the University of Giessen. During his career, he worked for Deutsche Bundesbank, Deutsche Bank, HypoVereinsbank/UniCredit, DZBank, and Commerzbank. He earned a Ph.D. in mathematics from the University of Bonn.

Christoph Wagner has worked for Deutsche Bank, Allianz Group Center, UniCredit/HypoVereinsbank, and Allianz Risk Transfer. He earned a Ph.D. in statistical physics from the Technical University of Munich.

Inhaltsangabe

The Basics of Credit Risk Management. Modeling Correlated Defaults. Asset
Value Models. The CreditRisk+ Model. Risk Measures and Capital Allocation.
Term Structure of Default Probability. Credit Derivatives. Collateralized
Debt Obligations. References. Index.