Introduction to Credit Risk Modeling

von

Bluhm, ChristianOverbeck, LudgerWagner, Christoph

BuchPaperback

Verkaufsrang2003inVWL & Finanzwirtschaft

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BuchabCHF77.90

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Produktinformationen

While continuing to focus on common mathematical approaches to model credit portfolios, this second edition presents updates on model developments that have occurred since the publication of the best-selling first edition. It contains a new section on multi-period models and discusses recent developments in structured credit. Along with many wor

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Details

ISBN/GTIN978-1-032-92079-5

ProduktartBuch

EinbandPaperback

VerlagTaylor and FrancisChapman and Hall/CRC

Erscheinungsdatum14.10.2024

Auflage2. A.

ReiheChapman and Hall/CRC Financial Mathematics Series

Seiten384 Seiten

SpracheEnglisch

MasseBreite 156 mm, Höhe 234 mm

IllustrationenFarb., s/w. Abb.

WarengruppeWirtschaft

KategorieVWL & Finanzwirtschaft

Weitere Details

Reihe

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A Technical Guide to Mathematical Finance

Computational Methods in Finance

Interest Rate Modeling

Pricing Models of Volatility Products and Exotic Variance Derivatives

Foundations of Quantitative Finance, Book VI: Densities, Transformed Distributions, and Limit Theorems

Financial Mathematics

Malliavin Calculus in Finance

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Introduction to Credit Risk Modeling

Introduction to Risk Parity and Budgeting

Nonlinear Option Pricing

Portfolio Optimization

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Kritiken und Kommentare

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Über die Autorin/den Autor

Bluhm, ChristianOverbeck, LudgerWagner, Christoph

Over the years, Christian Bluhm has worked for Deutsche Bank, McKinsey, HypoVereinsbank´s Group Credit Portfolio Management, and Credit Suisse. He earned a Ph.D. in mathematics from the University of Erlangen-Nürnberg. Ludger Overbeck is a professor of probability theory and quantitative finance and risk management in the Institute of Mathematics at the University of Giessen. During his career, he worked for Deutsche Bundesbank, Deutsche Bank, HypoVereinsbank/UniCredit, DZBank, and Commerzbank. He earned a Ph.D. in mathematics from the University of Bonn.Christoph Wagner has worked for Deutsche Bank, Allianz Group Center, UniCredit/HypoVereinsbank, and Allianz Risk Transfer. He earned a Ph.D. in statistical physics from the Technical University of Munich.