作者：MatthiasGundlach，Fr
页数：369
出版社：世界图书出版公司
出版日期：2014
ISBN：9787510078583
电子书格式：pdf/epub/txt
内容简介
《银行业中的信用风险(英文)》信用风险又称违约风险，是指借款人、证券发行人或交易对方因种种原因，不愿或无力履行合同条件而构成违约，致使银行、投资者或交易对方遭受损失的可能性。《银行业中的信用风险(英文)》内容包括：基本信用风险、与CreditRisk+资本配置、相关的风险因素转换信用风险、数值稳定的信用风险计算、加强信用风险等。
作者简介
Matthias Gundlach(M.冈拉克,德国)是国际知名学者，在数学和物理学界享有盛誉。本书凝聚了作者多年科研和教学成果，适用于科研工作者、高校教师和研究生。
本书特色
信用风险被大量应用于投资组合信用风险违约模型中，借助精算数学形成的一种方法论。冈拉克所著的《银行业中的信用风险》全面讲述了信用风险模型的现状和最新进展，被广泛地应用于银行业中。 本书的目标读者是金融数学、银行业和金融业的研究生和相关的科研人员，书中不仅介绍了模型本身，也阐述了它在描述、处理和定价信用风险中的能力。这将是相关行业不可或缺的工具。
目录
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
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
