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Zusatztext "Credit Risk: Models! Derivatives! and Management is the most comprehensive available volume of authoritative readings on credit risk modeling. Niklas Wagner has given us a package of 26 chapters by well-recognized authors! treating all major aspects of the subject! from the behavior of default probabilities! recovery! and correlation to the pricing of a wide range of single-name and multi-name credit products. Every practitioner covering the topic will appreciate access to this collection." -Darrell Duffie! Dean Witter Distinguished Professor of Finance! The Graduate School of Business! Stanford University! California! USA"Well-recognized academics and industry experts offer their perspectives on current advances in credit risk modeling! pricing! and management . . . contains a nice mixture of theoretical and empirical contributions. In view of the current U.S. subprime mortgage loan crisis! CDO-based credit problems and several bankruptcies of financial institutions! this book is highly topical and offers valuable tools to both academics and practitioners alike." - Giacomo Bonanno! in Zentralblatt Math! 2009 Informationen zum Autor Niklas Wagner Klappentext This volume illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results. It focuses on new products and their applications in the financial services industry and addresses the growing market of credit derivatives. The expert contributors examine issues specific to certain geographic areas, such as Latin America, Argentina, and the United States, and discuss recent cases of corporate bankruptcy, including Tyco, Worldcom, Enron, and Parmalat. The book also covers default and recovery risks, credit ratings, and applications within the Basel II framework. Zusammenfassung Illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results. This volume focuses on the application of products in the financial services industry and the market of credit derivatives. Inhaltsverzeichnis Preface. A View on Credit Derivatives.Credit Risk, Spreads, and Spread Determinants.Credit Risk Modeling and Pricing.Default Risk, Recovery Risk, and Rating.Credit Risk Dependence and Dependent Defaults.Options, Portfolios, and Pricing Loss Distribution Tranches. Index....
