Introduction to Credit Risk Modeling

While continuing to focus on common mathematical approaches to model credit portfolios, this second edition presents updates on model developments that have occurred since the publication of the best-selling first edition. It contains a new section on multi-period models and discusses recent developments in structured credit. Along with many wor

List of contents

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.

About the author

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-Nürnberg.
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.

Summary

While continuing to focus on common mathematical approaches to model credit portfolios, this second edition presents updates on model developments that have occurred since the publication of the best-selling first edition. It contains a new section on multi-period models and discusses recent developments in structured credit. Along with many wor

Product details

• Authors: Christian Bluhm, Bluhm Christian, Ludger Overbeck, Overbeck Ludger, Christoph Wagner, Wagner Christoph
• Publisher: Taylor and Francis
• Languages: English
• Product format: Paperback / Softback
• Released: 14.10.2024
• EAN: 9781032920795
• ISBN: 978-1-032-92079-5
• No. of pages: 384
• Weight: 453 g
• Illustrations: schwarz-weiss Illustrationen
• Series: Chapman and Hall/CRC Financial Mathematics Series
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Probability theory, stochastic theory, mathematical statistics; Social sciences, law, business > Business > General, dictionaries; BUSINESS & ECONOMICS / Finance / General, MATHEMATICS / General, MATHEMATICS / Probability & Statistics / General, Economic statistics, Finance & accounting, Probability & statistics, Applied mathematics, Probability and statistics, Finance and accounting, Econometrics and economic statistics