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AN INTRODUCTION TO CREDIT RISK MODELING

In banking, especially in risk management, portfolio management, and structured finance, solid quantitative know-how becomes more and more important. We had a two-fold intention when writing this book: First, this book is designed to help mathematicians and physicists leaving the academic world and starting a profession as risk or portfolio managers to get quick access to the world of credit risk management. Second, our book is aimed at being helpful to risk managers looking for a more quantitative approach to credit risk | CHAPMAN HALƯCRC FINANCIAL MATHEMATICS SERIES i RISK MODELING Christian Bluhm Hypo Verei nsb a nk Group Munich Germany Ludger Overbeck Deutsche Bank Group Frankfurt Germany Christoph Wagner Allianz Group Munich Germany CHAPMAN HALL CRC A CRC Press Company Boca Raton London New York Washington D.c 2003 CRC Press LLC Library of Congress Cataloging-in-Publication Data Bluhm Christian. An introduction to credit risk modeling Christian Bluhm Ludger Overbeck Christoph Wagner. p. cm. Chapman Hall CRC financial mathematics series Includes bibliographical references and index. ISBN 1-58488-326-X alk. paper 1. Credit Management Mathematical models. 2. Risk management Mathematical models. I. Overbeck Ludger. II. Wagner Chistoph. in. Title. IV. Series. HG3751 .B58 2002 658.8 8 .0151 dc21 2002073623 CIP This book contains information obtained from authentic and highly regarded sources. Reprinted material is quoted with permission and sources are indicated. A wide variety of references are listed. Reasonable efforts have been made to publish reliable data and information but the author and the publisher cannot assume responsibility for the validity of all materials or for the consequences of their use. Neither this book nor any part may be reproduced or transmitted in any form or by any means electronic or mechanical including photocopying microfilming and recording or by any information storage or retrieval system without prior permission in writing from the publisher. All rights reserved. Authorization to photocopy items for internal or personal use or the personal or internal use of specific clients may be granted by CRC Press LLC provided that .50 per page photocopied is paid directly to Copyright Clearance Center 222 Rosewood Drive Danvers MA 01923 USA. The fee code for users of the Transactional Reporting Service is ISBN 1-58488-326-X 01 0.00 1.50. The fee is subject to change without notice. For organizations that have been granted a photocopy license by the ccc a separate