银行业中的信用风险 英文PDF格式文档图书下载

1 Introduction&Volker Matthias Gundlach and Frank Berthold Lehrbass 1

2 Basics of CreditRisk+&Volker Matthias Gundlach 7

3 Capital Allocation with CreditRisk+&Dirk Tasche 25

4 Risk Factor Transformations Relating CreditRisk+and CreditMetrics&Christian Wieczerkowski 45

5 Numerically Stable Computation of CreditRisk+&Hermann Haaf,Oliver Reiβ and John Schoenmakers 69

6 Enhanced CreditRisk+&G？tz Giese 79

7 Saddlepoint Approximation&Michael B.Gordy 91

8 Fourier Inversion Techniques for CreditRisk+&Oliver Reiβ 111

9 Incorporating Default Correlations and Severity Variations&Nese Akkaya,Alexandre Kurth and Armin Wagner 129

10 Dependent Risk Factors&G？tz Giese 153

11 Integrating Rating Migrations&Frank Br？ker and Stefan Schweizer 167

12 An Analytic Approach to Rating Transitions&Carsten Binnenhei 187

13 Dependent Sectors and an Extension to Incorporate Market Risk&Oliver Reiβ 215

14 Econometric Methods for Sector Analysis& Leif Boegelein,Alfred Hamerle,Michael Knapp and Daniel R？sch 231

15 Estimation of Sector Weights from Real-World Data&Michael Lesko,Frank Schlottmann and Stephan Vorgrimler 249

16 Risk-Return Analysis of Credit Portfolios&Frank Schlottmann,Detlef Seese,Michael Lesko and Stephan Vorgrimler 259

17 Numerical Techniques for Determining Portfolio Credit Risk&Sandro Merino and Mark Nyfeler 279

18 Some Remarks on the Analysis of Asset-Backed Securities&Daniel Kluge and Frank B.Lehrbass 311

19 Pricing and Hedging of Structured Credit Derivatives&Martin Hellmich and Oliver Steinkamp 325

Index 363

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