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Springer Finance

CreditRisk+ in the Banking Industry

Editors: Gundlach, Matthias, Lehrbass, Frank (Eds.)

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eBook $109.00
price for USA in USD (gross)
  • ISBN 978-3-662-06427-6
  • Digitally watermarked, DRM-free
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  • Immediate eBook download after purchase
Hardcover $139.99
price for USA in USD
  • ISBN 978-3-540-20738-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $149.00
price for USA in USD
  • ISBN 978-3-642-05854-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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.

About the authors

 

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.

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)


Table of contents (19 chapters)

Table of contents (19 chapters)

Buy this book

eBook $109.00
price for USA in USD (gross)
  • ISBN 978-3-662-06427-6
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $139.99
price for USA in USD
  • ISBN 978-3-540-20738-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $149.00
price for USA in USD
  • ISBN 978-3-642-05854-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
CreditRisk+ in the Banking Industry
Editors
  • Matthias Gundlach
  • Frank Lehrbass
Series Title
Springer Finance
Copyright
2004
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-662-06427-6
DOI
10.1007/978-3-662-06427-6
Hardcover ISBN
978-3-540-20738-2
Softcover ISBN
978-3-642-05854-7
Series ISSN
1616-0533
Edition Number
1
Number of Pages
XII, 369
Number of Illustrations
46 b/w illustrations
Topics