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CreditRisk\(^+\) in the banking industry. (English) Zbl 1046.91001
Springer Finance. Berlin: Springer (ISBN 3-540-20738-4/hbk). xii, 369 p. (2004).

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The articles of this volume will be reviewed individually.
Indexed articles:
Gundlach, Volker Matthias, Basics of CreditRisk\(^+\), 7-24 [Zbl 1109.91034]
Tasche, Dirk, Capital allocation with CreditRisk\(^+\), 25-43 [Zbl 1095.91021]
Wieczerkowski, Christian, Risk factor transformations relating CreditRisk\(^+\) and CreditMetrics, 45-68 [Zbl 1095.91041]
Haaf, Hermann; Reiß, Oliver; Schoenmakers, John, Numerically stable computation of CreditRisk\(^+\), 69-77 [Zbl 1095.91032]
Giese, Götz, Enhanced CreditRisk\(^+\), 79-90 [Zbl 1095.91029]
Gordy, Michael B., Saddlepoint approximation, 91-110 [Zbl 1095.91031]
Reiß, Oliver, Fourier inversion techniques for CreditRisk\(^+\), 111-128 [Zbl 1095.91037]
Akkaya, Nese; Kurth, Alexandre; Wagner, Armin, Incorporating default correlations and severity variations, 129-152 [Zbl 1095.91025]
Giese, Götz, Dependent risk factors, 153-165 [Zbl 1095.91030]
Bröker, Frank; Schweizer, Stefan, Integrating rating migration, 167-185 [Zbl 1095.91507]
Binnenhei, Carsten, An analytic approach to rating transitions, 187-214 [Zbl 1109.91022]
Reiß, Oliver, Dependent sectors and an extension to incorporate market risk, 215-230 [Zbl 1095.91038]
Boegelein, Leif; Hamerle, Alfred; Knapp, Michael; Rösch, Daniel, Econometric methods for sector analysis, 231-248 [Zbl 1095.91026]
Lesko, Michael; Schlottmann, Frank; Vorgrimler, Stephan, Estimation of sector weights from real-world data, 249-258 [Zbl 1090.91552]
Schlottmann, Frank; Seese, Detlef; Lesko, Michael; Vorgrimler, Stephan, Risk-return analysis of credit portfolios, 259-278 [Zbl 1095.91020]
Merino, Sandro; Nyfeler, Mark, Numerical techniques for determining portfolio credit risk, 279-309 [Zbl 1095.91018]
Kluge, Daniel; Lehrbass, Frank B., Some remarks on the analysis of asset-backed securities, 311-323 [Zbl 1095.91017]
Hellmich, Martin; Steinkamp, Oliver, Pricing and hedging of structured credit derivatives, 325-362 [Zbl 1109.91024]

MSC:
91-06 Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance
91B30 Risk theory, insurance (MSC2010)
00B15 Collections of articles of miscellaneous specific interest
91B28 Finance etc. (MSC2000)
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