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Titlebook: CreditRisk+ in the Banking Industry; Matthias Gundlach,Frank Lehrbass Book 2004 Springer-Verlag Berlin Heidelberg 2004 Asset Backed Securi

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發(fā)表于 2025-3-21 18:45:02 | 只看該作者 |倒序?yàn)g覽 |閱讀模式
書(shū)目名稱(chēng)CreditRisk+ in the Banking Industry
編輯Matthias Gundlach,Frank Lehrbass
視頻videohttp://file.papertrans.cn/240/239651/239651.mp4
概述no competing book exists or is planned.the group of authors included several of the orginal creators of the model CR+.all authors are expert practitioners of credit risk models.the authors represent c
叢書(shū)名稱(chēng)Springer Finance
圖書(shū)封面Titlebook: CreditRisk+ in the Banking Industry; Matthias Gundlach,Frank Lehrbass Book 2004 Springer-Verlag Berlin Heidelberg 2004 Asset Backed Securi
描述.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..
出版日期Book 2004
關(guān)鍵詞Asset Backed Securities; Banking; Banking Industry; Credit Derivatives; STATISTICA; credit risk; financial
版次1
doihttps://doi.org/10.1007/978-3-662-06427-6
isbn_softcover978-3-642-05854-7
isbn_ebook978-3-662-06427-6Series ISSN 1616-0533 Series E-ISSN 2195-0687
issn_series 1616-0533
copyrightSpringer-Verlag Berlin Heidelberg 2004
The information of publication is updating

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發(fā)表于 2025-3-21 21:30:23 | 只看該作者
,Qualit?t der Abschlussprüfung,ransformations that relates identical though differently represented models. In the simplest case of homogeneous one-factor one-band-models, there is an approximate symmetry between consistently parametrized CreditRisk. and CreditMetrics. This can be viewed as evidence that there exists in general a
板凳
發(fā)表于 2025-3-22 01:04:28 | 只看該作者
,Schülerauswahl für F?rderma?nahmen,sions of the logarithm and the exponential of a power series. We show that it is advantageous to the Panjer recursion advocated in the original CreditRisk. document, in that it is numerically stable. The crucial stability arguments are explained in detail. Furthermore, the computational complexity o
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發(fā)表于 2025-3-22 07:35:02 | 只看該作者
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發(fā)表于 2025-3-22 10:53:26 | 只看該作者
,Ursachen für Langeweile im Unterricht,is chapter shows how saddlepoint approximation can be applied to an extended version of CreditRisk. that incorporates idiosyncratic severity risk. Regardless of the number of sectors and without any need for discretizing loss exposures, both value-at-risk and expected shortfall are easily calculated
6#
發(fā)表于 2025-3-22 15:03:13 | 只看該作者
,Ursachen für Langeweile im Unterricht,rier inversion are presented. For the convenience of the reader, a short introduction to the theory of characteristic functions and the Fourier transformation is given. Then two general results are stated how to obtain the distribution of a random variable from its characteristic function. These gen
7#
發(fā)表于 2025-3-22 17:14:31 | 只看該作者
Wirtschaft, Gerechtigkeit und Ethik,nts. We provide an extension that enables modelling of default correlations among segments while preserving the analytical solution for the loss distribution. Moreover, the proposed methodology can consistently be extended to independently (of default events) model stochastic severities in collatera
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發(fā)表于 2025-3-23 00:39:48 | 只看該作者
,Ursachen für Langeweile im Unterricht,rating functions (MGFs) of both distributions have a simple analytical form, which fits into the framework of Chapter 6 so that the nested evaluation recursion scheme can be applied. We show how the parameters of the new distributions can be fitted to an externally given covariance matrix for the ri
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