ISBN: 3790800546
TITLE: Credit Risk
AUTHOR: Georg et al. (Ed.)
TOC:

Approaches to Credit Risk in the New Basel Capital Accord
Arne Benzin, Stefan Trck, Svetlozar T. Rachev 1
Systematic Risk in Homogeneous Credit Portfolios
Christian Bluhm, Ludger Overbeck 35
Valuation of a Credit Default Swap: The Stable Non-Gaussian versus the Gaussian Approach
Dylan D'Souza, Keyvan Amir-Atefi, Borjana Racheva-Jotova 49
Basel II in the DaimlerChrysler Bank
Christoph Heidelbach, Werner Krzinger 85
Sovereign Risk in a Structural Approach. Evaluating Sovereign Ability-to-Pay and Probability of Default
Alexander Karmann, Dominik Maltritz 91
An Extreme Analysis of VaRs for Emerging Market Benchmark Bonds
Rdiger Kiesel, William Perraudin, Alex Taylor 111
Default Probabilities in Structured Commodity Finance
Daniel Kluge, Frank Lehrbass 139
Kendall's Tau for Elliptical Distributions
Filip Lindskog, Alexander McNeil, Uwe Schmock 149
Exploring Credit Data
Marlene Mller, Wolfgang Hrdle 157
Stable Non-Gaussian Credit Risk Model; The Cognity Approach
Borjana Racheva-Jotova, Stoyan Stoyanov, Svetlozar T. Rachev 175
An Application of the CreditRisk_+ Model
Thomas Rempel-Oberem, Rainer Klingeler, Peter Martin 195
Internal Ratings for Corporate Clients
Ingo Schl 207
Finding Constrained Downside Risk-Return Efficient Credit Portfolio Structures Using Hybrid Multi-Objective Evolutionary Computation
Frank Schlottmann, Detlef Seese 231
Credit Risk Modelling and Estimation via Elliptical Copulae
Rafael Schmidt 267
Credit Risk Models in Practice - a Review
Stefan Trck, Jochen Peppel 291
List of Authors 331
END
