Springer Finance Series之CreditRisk+ in the Banking Industry

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CreditRisk+ is a 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. This timely book will be an indispensable tool.

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Editorial ReviewsReview

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.


Product Details

• Series: Springer Finance
  
• Paperback: 369 pages
• Publisher: Springer; Softcover reprint of hardcover 1st ed. 2004 edition (December 1, 2010)
• Language: English
• ISBN-10: 364205854X
• ISBN-13: 978-3642058547
• Product Dimensions: 6 x 0.9 x 9 inches
• Shipping Weight: 1.4 pounds (View shipping rates and policies)
  

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关键词：CreditRisk Industry Springer Finance Banking Series

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