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Item Details
| Title:
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INTRODUCTION TO CREDIT RISK MODELING
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| By: |
Christian Bluhm, Ludger Overbeck, Christoph Wagner |
| Format: |
Hardback |
| List price:
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£180.00 |
| Our price: |
£162.00 |
| Discount: |
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| You save:
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£18.00 |
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| ISBN 10: |
1584889926 |
| ISBN 13: |
9781584889922 |
| Availability: |
Usually dispatched within 3-5 days.
 Delivery
rates
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| Stock: |
Currently 3 available |
| Publisher: |
TAYLOR & FRANCIS INC |
| Pub. date: |
3 June, 2010 |
| Edition: |
2nd Revised edition |
| Series: |
Chapman & Hall/CRC Financial Mathematics Series v. 19 |
| Pages: |
384 |
| Description: |
Illustrating mathematical models for structured credit with practical examples, this book presents an introduction to the foundations of structured credit portfolio modeling. It features material on estimation of asset correlations, and benchmark correlations based on securitizations of benchmark portfolios in the market. |
| Synopsis: |
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. |
| Illustrations: |
50 black & white illustrations, 18 black & white tables |
| Publication: |
US |
| Imprint: |
Chapman & Hall/CRC |
| Returns: |
Returnable |
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