- 作 者：（德）冈拉克著
- 出 版 社：世界图书出版公司北京公司
- 出版年份：2014
- ISBN：751007858X
- 标注页数：369 页
- PDF页数：381 页
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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