《銀行業中的信用風險》是2014年世界圖書出版公司出版的著作，作者是[德] 岡拉克（Gundlach M.）。
基本介紹
- 中文名：《銀行業中的信用風險》
- 作者：[德]岡拉克（Gundlach M.）
- 出版社：世界圖書出版公司
- 出版時間：2014年09月01日
- 開本：24 開
- 裝幀：平裝
- ISBN：9787510078583
內容簡介,目錄,
內容簡介
The object of.this book is to offer an overview of and describe new developments in the credit risk model CreditRisk+. In the selection of topics and in its organization, the book addresses both experts and practitioners, as well as anyone looking for an introduction to the subject.
目錄
Preface
Contributors
1 Introduction
2 Basics of CreditRisk+
3 Capital Allocation with CreditRisk+
4 Risk Factor Wansformations Relating CreditRisk+ and CreditMetrics
5 Numerically Stable Computation of CreditRisk+
6 Enhanced CreditRisk+
7 Saddlepoint Approximation
8 Fourier Inversion Techniques for CreditRisk+
9 Incorporating Default Correlations and Severity Variations
10 Dependent Risk Factors
11 Integrating Rating Migrations
12 An Analytic Approach to Rating Transitions
13 Dependent Sectors and an Extension to Incorporate Market Risk
14 Econometric Methods for Sector Analysis
15 Estimation of Sector Weights from Real-World Data
16 Risk-Return Analysis of Credit Portfolios
17 Numerical Techniques for Determining Portfolio Credit Risk
18 Some Remarks on the Analysis of Asset-Backed Securities
19 Pricing and Hedging of Structured Credit Derivatives
Index
