Overview
- no competing book exists or is planned
- the group of authors included several of the orginal creators of the model CR+
- all authors are expert practitioners of credit risk models
- the authors represent cumulative experience from several banks across the globe
- the book is timely! Banks worldwide are implementing risk measurement models to comply with the rules of the Basel II convention. Credit risk is a particularly sensitive topic.
- CR+ is based on mathematics that is available to everyone (articles and algorithms) and accessible to people with the scientific background usual for risk managers.
- CR+ provides good insight into important aspects of risk management.
- The book also looks at alternative ideas, comparing them critically against CR+
- Includes supplementary material: sn.pub/extras
Part of the book series: Springer Finance (FINANCE)
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Table of contents (19 chapters)
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Front Matter
Keywords
About this book
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.
Reviews
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)
Editors and Affiliations
About the editors
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.
Bibliographic Information
Book Title: CreditRisk+ in the Banking Industry
Editors: Matthias Gundlach, Frank Lehrbass
Series Title: Springer Finance
DOI: https://doi.org/10.1007/978-3-662-06427-6
Publisher: Springer Berlin, Heidelberg
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eBook Packages: Springer Book Archive
Copyright Information: Springer-Verlag Berlin Heidelberg 2004
Hardcover ISBN: 978-3-540-20738-2Published: 18 June 2004
Softcover ISBN: 978-3-642-05854-7Published: 06 December 2010
eBook ISBN: 978-3-662-06427-6Published: 14 March 2013
Series ISSN: 1616-0533
Series E-ISSN: 2195-0687
Edition Number: 1
Number of Pages: XII, 369
Number of Illustrations: 46 b/w illustrations
Topics: Finance, general, Applications of Mathematics, Quantitative Finance