ABSTRACT

Contains Nearly 100 Pages of New MaterialThe 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 Modelin

chapter 1|50 pages

The Basics of Credit Risk Management

chapter 2|100 pages

Modeling Correlated Defaults

chapter 3|28 pages

Asset Value Models

chapter 4|18 pages

The CreditRisk+ Model

chapter 5|28 pages

Risk Measures and Capital Allocation

chapter 6|30 pages

Term Structure of Default Probability

chapter 7|26 pages

Credit Derivatives

chapter 8|64 pages

Collateralized Debt Obligations