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)狀和最新進(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。
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
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