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银行业中的信用风险
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湖南大学
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  • ISBN:
    9787510078583
  • 作      者:
    (德)冈拉克
  • 出 版 社 :
    世界图书出版公司
  • 出版日期:
    2014-09-01
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目录
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 Transitions 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
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