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Credit Risk

Measurement, Evaluation and Management

  • Conference proceedings
  • © 2003

Overview

Editors:
  1. Georg Bol

    1. Institut für Statistik und Mathematische Wirtschaftstheorie, Universität Karlsruhe, Karlsruhe, Germany

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  2. Gholamreza Nakhaeizadeh

    1. DaimlerChrysler AG, Ulm, Germany

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  3. Svetlozar T. Rachev

    1. Institut für Statistik und Mathematische Wirtschaftstheorie, Universität Karlsruhe, Karlsruhe, Germany

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  4. Thomas Ridder

    1. DZ Bank AG, COR, Frankfurt am Main, Germany

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  5. Karl-Heinz Vollmer

    1. Institut für Statistik und Mathematische Wirtschaftstheorie, Universität Karlsruhe, Karlsruhe, Germany

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  • State-of-the-art compendium in credit risk
  • Presents new developments in the measurement, evaluation and management of credit risk
  • Includes supplementary material: sn.pub/extras

Part of the book series: Contributions to Economics (CE)

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Table of contents (15 papers)

  1. Front Matter

    Pages I-X
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  2. Approaches to Credit Risk in the New Basel Capital Accord

    • Arne Benzin, Stefan Trück, Svetlozar T. Rachev
    Pages 1-33

  3. Systematic Risk in Homogeneous Credit Portfolios

    • Christian Bluhm, Ludger Overbeck
    Pages 35-48

  4. Valuation of a Credit Default Swap: The Stable Non-Gaussian versus the Gaussian Approach

    • Dylan D’Souza, Keyvan Amir-Atefi, Borjana Racheva-Jotova
    Pages 49-84

  5. Basel II in the DaimlerChrysler Bank

    • Christoph Heidelbach, Werner Kürzinger
    Pages 85-90

  6. Sovereign Risk in a Structural Approach

    • Alexander Karmann, Dominik Maltritz
    Pages 91-109

  7. An Extreme Analysis of VaRs for Emerging Market Benchmark Bonds

    • Rüdiger Kiesel, William Perraudin, Alex Taylor
    Pages 111-137

  8. Default Probabilities in Structured Commodity Finance

    • Daniel Kluge, Frank Lehrbass
    Pages 139-147

  9. Kendall’s Tau for Elliptical Distributions

    • Filip Lindskog, Alexander McNeil, Uwe Schmock
    Pages 149-156

  10. Exploring Credit Data *

    • Marlene Müller, Wolfgang Härdle
    Pages 157-173

  11. Stable Non-Gaussian Credit Risk Model; The Cognity Approach

    • Borjana Racheva-Jotova, Stoyan Stoyanov, Svetlozar T. Rachev
    Pages 175-193

  12. An Application of the CreditRisk+ Model

    • Thomas Rempel-Oberem, Rainer Klingeler, Peter Martin
    Pages 195-205

  13. Internal Ratings for Corporate Clients

    • Ingo Schäl
    Pages 207-230

  14. Finding Constrained Downside Risk-Return Efficient Credit Portfolio Structures Using Hybrid Multi-Objective Evolutionary Computation

    • Frank Schlottmann, Detlef Seese
    Pages 231-265

  15. Credit Risk Modelling and Estimation via Elliptical Copulae

    • Rafael Schmidt
    Pages 267-289

  16. Credit Risk Models in Practice - a Review

    • Stefan Trück, Jochen Peppel
    Pages 291-329

  17. Back Matter

    Pages 331-334
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Keywords

About this book

New developments in measuring, evaluating and managing credit risk are discussed in this volume. Addressing both practitioners in the banking sector and resesarch institutions, the book provides a manifold view on one of the most-discussed topics in finance. Among the subjects treated are important issues, such as: the consequences of the new Basel Capital Accord (Basel II), different applications of credit risk models, and new methodologies in rating and measuring credit portfolio risk. The volume provides an overview of recent developments as well as future trends: a state-of-the-art compendium in the area of credit risk.

Editors and Affiliations

  • Institut für Statistik und Mathematische Wirtschaftstheorie, Universität Karlsruhe, Karlsruhe, Germany

    Georg Bol, Svetlozar T. Rachev, Karl-Heinz Vollmer

  • DaimlerChrysler AG, Ulm, Germany

    Gholamreza Nakhaeizadeh

  • DZ Bank AG, COR, Frankfurt am Main, Germany

    Thomas Ridder

Bibliographic Information

  • Book Title: Credit Risk

  • Book Subtitle: Measurement, Evaluation and Management

  • Editors: Georg Bol, Gholamreza Nakhaeizadeh, Svetlozar T. Rachev, Thomas Ridder, Karl-Heinz Vollmer

  • Series Title: Contributions to Economics

  • DOI: https://doi.org/10.1007/978-3-642-59365-9

  • Publisher: Physica Heidelberg

  • eBook Packages: Springer Book Archive

  • Copyright Information: Physica-Verlag Heidelberg 2003

  • Softcover ISBN: 978-3-7908-0054-8Published: 22 May 2003

  • eBook ISBN: 978-3-642-59365-9Published: 06 December 2012

  • Series ISSN: 1431-1933

  • Series E-ISSN: 2197-7178

  • Edition Number: 1

  • Number of Pages: X, 333

  • Number of Illustrations: 37 b/w illustrations

  • Topics: Finance, general, Macroeconomics/Monetary Economics//Financial Economics, Quantitative Finance

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