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© 2004

CreditRisk+ in the Banking Industry

  • Matthias Gundlach
  • Frank Lehrbass
Book

Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages I-XII
  2. Volker Matthias Gundlach, Frank Berthold Lehrbass
    Pages 1-6
  3. Volker Matthias Gundlach
    Pages 7-24
  4. Dirk Tasche
    Pages 25-43
  5. Hermann Haaf, Oliver Reiß, John Schoenmakers
    Pages 69-77
  6. Götz Giese
    Pages 79-90
  7. Michael B. Gordy
    Pages 91-110
  8. Nese Akkaya, Alexandre Kurth, Armin Wagner
    Pages 129-152
  9. Götz Giese
    Pages 153-165
  10. Frank Bröker, Stefan Schweizer
    Pages 167-185
  11. Carsten Binnenhei
    Pages 187-214
  12. Leif Boegelein, Alfred Hamerle, Michael Knapp, Daniel Rösch
    Pages 231-248
  13. Michael Lesko, Frank Schlottmann, Stephan Vorgrimler
    Pages 249-258
  14. Frank Schlottmann, Detlef Seese, Michael Lesko, Stephan Vorgrimler
    Pages 259-278
  15. Sandro Merino, Mark Nyfeler
    Pages 279-309
  16. Daniel Kluge, Frank B. Lehrbass
    Pages 311-323
  17. Martin Hellmich, Oliver Steinkamp
    Pages 325-362

About this book

Introduction

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.

Keywords

Asset Backed Securities Banking Banking Industry Credit Derivatives STATISTICA credit risk financial mathematics risk management

Editors and affiliations

  • Matthias Gundlach
    • 1
  • Frank Lehrbass
    • 2
  1. 1.Konzerncontrolling KreditrisikoAareal Bank AGWiesbadenGermany
  2. 2.Portfolio Management & Structured Investments, Credit TreasuryDeutsche Genossenschafts-Hypothekenbank AGHamburgGermany

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
  • Copyright Information Springer-Verlag Berlin Heidelberg 2004
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Hardcover ISBN 978-3-540-20738-2
  • Softcover ISBN 978-3-642-05854-7
  • eBook ISBN 978-3-662-06427-6
  • Series ISSN 1616-0533
  • Series E-ISSN 2195-0687
  • Edition Number 1
  • Number of Pages XII, 369
  • Number of Illustrations 46 b/w illustrations, 0 illustrations in colour
  • Topics Finance, general
    Applications of Mathematics
    Quantitative Finance
  • Buy this book on publisher's site
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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)