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。
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
当前图书最新荐购
