Titlebook: CreditRisk+ in the Banking Industry; Matthias Gundlach,Frank Lehrbass Book 2004 Springer-Verlag Berlin Heidelberg 2004 Asset Backed Securi

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Numerically Stable Computation of CreditRisk+,sions of the logarithm and the exponential of a power series. We show that it is advantageous to the Panjer recursion advocated in the original CreditRisk. document, in that it is numerically stable. The crucial stability arguments are explained in detail. Furthermore, the computational complexity of the resulting algorithm is stated.

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Saddlepoint Approximation,is chapter shows how saddlepoint approximation can be applied to an extended version of CreditRisk. that incorporates idiosyncratic severity risk. Regardless of the number of sectors and without any need for discretizing loss exposures, both value-at-risk and expected shortfall are easily calculated.

STALE

An Analytic Approach to Rating Transitions,odifica-tions to the original methodology are proposed to make the extension to a mark-to-market model tractable. The distribution of portfolio value changes is obtained analytically by a two-dimensional recursion algorithm.

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Barter

Book 2004le, notation, etc. The discussion ranges from computational methods and extensions for special forms of credit business to statistical calibrations and practical implementations. This unique and timely book constitutes an indispensable tool for both practitioners and academics working in the evaluation of credit risk..

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Crumple

Dependent Sectors and an Extension to Incorporate Market Risk,isk model is an important step to combining this model with market risk. Additionally a portfolio model will be presented where the changes of the spreads are driven by the risk factors. Using a linear expansion of the market risk, the distribution of this portfolio can be determined. In the special

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MOTIF

Capital Allocation with CreditRisk+,egative cash-flow resulting from credit losses. In this case, the allocation method can be specified by means of a risk measure. Its result is called economic capital of the portfolio. Second, at subportfolio or transaction level, capital allocation means breaking down the economic capital of the po