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CreditRisk+ in the Banking Industry

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Cover of 'CreditRisk+ in the Banking Industry'

Table of Contents

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    Book Overview
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    Chapter 1 Introduction
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    Chapter 2 Basics of CreditRisk +
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    Chapter 3 Capital Allocation with CreditRisk +
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    Chapter 4 Risk Factor Transformations Relating CreditRisk + and CreditMetrics
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    Chapter 5 Numerically Stable Computation of CreditRisk +
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    Chapter 6 Enhanced CreditRisk +
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    Chapter 7 Saddlepoint Approximation
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    Chapter 8 Fourier Inversion Techniques for CreditRisk +
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    Chapter 9 Incorporating Default Correlations and Severity Variations
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    Chapter 10 Dependent Risk Factors
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    Chapter 11 Integrating Rating Migrations
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    Chapter 12 An Analytic Approach to Rating Transitions
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    Chapter 13 Dependent Sectors and an Extension to Incorporate Market Risk
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    Chapter 14 Econometric Methods for Sector Analysis
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    Chapter 15 Estimation of Sector Weights from Real-World Data
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    Chapter 16 Risk-Return Analysis of Credit Portfolios
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    Chapter 17 Numerical Techniques for Determining Portfolio Credit Risk
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    Chapter 18 Some Remarks on the Analysis of Asset-Backed Securities
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    Chapter 19 Pricing and Hedging of Structured Credit Derivatives
Attention for Chapter 12: An Analytic Approach to Rating Transitions
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