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Statistics of Financial Markets pp 519–543Cite as

Credit Risk Management and Credit Derivatives

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Abstract

Credit risk management is an important issue in banking. In this chapter we give an overview of the models for calculating the default risk exposure of a credit portfolio.

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References

  • Bluhm, C., Overbeck, L., & Wagner, C. (2010). An introduction to credit risk modeling, 2nd edn. Chapman and Hall/CRC.

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  • Duffie, D., & Singleton, K. J. (1997). An econometric model of the term structure of interest-rate swap yields. Journal of Finance, 51, 1287–1321.

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  • Egloff, D., Leippold, M., & Vanini, P. (2004). A simple model of credit contagion. EFA Maastricht Meetings Paper.

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  • Li, X. D. (1998). Constructing a credit curve. Credit Risk. A RISK Special Report.

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  • McGinty, L., & Ahluwalia, R. (2004). A model for base correlation calculation. Technical report. JP Morgan.

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Author information

Authors and Affiliations

  1. Department of Mathematics, Technische Universität Kaiserslautern, Kaiserslautern, Germany

    Jürgen Franke

  2. Ladislaus von Bortkiewicz Chair of Statistics, Humboldt-Universität Berlin, Berlin, Germany

    Wolfgang Karl Härdle

  3. Louvain Institute of Data Analysis and Modeling in Economics and Statistics, UCLouvain, Louvain-la-Neuve, Belgium

    Christian Matthias Hafner

Authors
  1. Jürgen Franke
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  2. Wolfgang Karl Härdle
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  3. Christian Matthias Hafner
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Franke, J., Härdle, W.K., Hafner, C.M. (2019). Credit Risk Management and Credit Derivatives. In: Statistics of Financial Markets. Universitext. Springer, Cham. https://doi.org/10.1007/978-3-030-13751-9_22

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