CreditRisk+ is a widely implemented default-mode model of portfolio credit risk, based on a methodology borrowed from actuarial mathematics. This book gives an account of the status quo as well as of new and recent developments of the credit risk model CreditRisk+, which is widely used in the banking industry. It gives an introduction to the model itself and to its ability to describe, manage and price credit risk. This timely book will be an indispensable tool.
Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Number of pages: 369
Weight: 1590 g
Dimensions: 235 x 155 x 22 mm
Edition: 2004 ed.
From the reviews:
"It is an edited collection of articles written by practicing financial engineers about different applications and extensions of CreditRisk+. ... The book is quite technical, largely targeting financial engineers working in credit risk measurement. ... For financial engineers or researchers who want to understand CreditRisk+ and related techniques, this is the essential book." (www.riskbook.com, May, 2006)
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