Introduction to Credit Risk Modeling

ISBN-13: 9781584889922 / Angielski / Twarda / 2010 / 384 str.

Christian Bluhm;Ludger Overbeck;Christoph Wagner

Opis

Contains Nearly 100 Pages of New Material The recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model credit portfolios, Introduction to Credit Risk Modeling, Second Edition presents updates on model developments that have occurred since the publication of the best-selling first edition. New to the Second Edition

• An expanded section on techniques for the generation of loss distributions
• Introductory sections on new topics, such as spectral risk measures, an axiomatic approach to capital allocation, and nonhomogeneous Markov chains
• Updated sections on the probability of default, exposure-at-default, loss-given-default, and regulatory capital
• A new section on multi-period models
• Recent developments in structured credit

The financial crisis illustrated the importance of effectively communicating model outcomes and ensuring that the variation in results is clearly understood by decision makers. The crisis also showed that more modeling and more analysis are superior to only one model. This accessible, self-contained book recommends using a variety of models to shed light on different aspects of the true nature of a credit risk problem, thereby allowing the problem to be viewed from different angles.

Illustrating mathematical models for structured credit with practical examples, Introduction to Credit Risk Modeling provides an accessible introduction to the foundations of structured credit portfolio modeling. Updated and expanded, this second edition features additional material on estimation of asset correlations, benchmark correlations based on securitizations of benchmark portfolios in the market, risk contributions and spectral risk measures, nonhomogeneous Markov chain approaches, multi-year models, current agency models, single-tranche CDOs, index tranches, as well as new developments in synthetics. The text also includes new exercises and a supporting website.

Spis treści

The Basics of Credit Risk Management. Modeling Correlated Defaults. Asset Value Models. The CreditRisk⁺ Model. Risk Measures and Capital Allocation. Term Structure of Default Probability. Credit Derivatives. Collateralized Debt Obligations. References. Index.