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銀行業(yè)的信用風(fēng)險(xiǎn) 版權(quán)信息
- ISBN：9787510078583
- 條形碼：9787510078583 ; 978-7-5100-7858-3
- 裝幀：一般膠版紙
- 冊(cè)數(shù)：暫無
- 重量：暫無
- 所屬分類：>>
銀行業(yè)的信用風(fēng)險(xiǎn) 本書特色
信用風(fēng)險(xiǎn)被大量應(yīng)用于投資組合信用風(fēng)險(xiǎn)違約模型中，借助精算數(shù)學(xué)形成的一種方法論。岡拉克所著的《銀行業(yè)中的信用風(fēng)險(xiǎn)》全面講述了信用風(fēng)險(xiǎn)模型的現(xiàn)狀和*新進(jìn)展，被廣泛地應(yīng)用于銀行業(yè)中。 本書的目標(biāo)讀者是金融數(shù)學(xué)、銀行業(yè)和金融業(yè)的研究生和相關(guān)的科研人員，書中不僅介紹了模型本身，也闡述了它在描述、處理和定價(jià)信用風(fēng)險(xiǎn)中的能力。這將是相關(guān)行業(yè)不可或缺的工具。
銀行業(yè)的信用風(fēng)險(xiǎn) 內(nèi)容簡(jiǎn)介
《銀行業(yè)中的信用風(fēng)險(xiǎn)(英文)》信用風(fēng)險(xiǎn)又稱違約風(fēng)險(xiǎn)，是指借款人、證券發(fā)行人或交易對(duì)方因種種原因，不愿或無力履行合同條件而構(gòu)成違約，致使銀行、投資者或交易對(duì)方遭受損失的可能性。《銀行業(yè)中的信用風(fēng)險(xiǎn)(英文)》內(nèi)容包括：基本信用風(fēng)險(xiǎn)、與CreditRisk+資本配置、相關(guān)的風(fēng)險(xiǎn)因素轉(zhuǎn)換信用風(fēng)險(xiǎn)、數(shù)值穩(wěn)定的信用風(fēng)險(xiǎn)計(jì)算、加強(qiáng)信用風(fēng)險(xiǎn)等。
銀行業(yè)的信用風(fēng)險(xiǎn) 目錄
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
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
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銀行業(yè)的信用風(fēng)險(xiǎn) 作者簡(jiǎn)介
Matthias Gundlach(M.岡拉克,德國(guó))是國(guó)際知名學(xué)者，在數(shù)學(xué)和物理學(xué)界享有盛譽(yù)。本書凝聚了作者多年科研和教學(xué)成果，適用于科研工作者、高校教師和研究生。
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