|
|
|
信用風險又稱違約風險，是指借款人、證券發行人或交易對方因種種原因，不願或無力履行合同條件而構成違約，致使銀行、投資者或交易對方遭受損失的可能性。《銀行業中的信用風險(英文)》內容包括：基本信用風險、與CreditRisk+資本配置、相關的風險因素轉換信用風險、數值穩定的信用風險計算、加強信用風險等。
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 rlyansitions
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
