Contains Nearly 100 Pages of New MaterialThe recent financial crisis has shown that credit
risk in particular and finance in general remain important fields for the application of …

The financial industry is swamped by credit products whose economic performance is linked
to the performance of some underlying portfolio of credit-risky instruments, like loans, bonds …

Jeder Kredit birgt für den Kreditgeber ein Risiko, da es unsicher ist, ob der Kreditnehmer
seinen Zahlungsverpflichtungen nachkommen wird. Kreditrisiken werden mit Hilfe …

Collateralized debt obligatons (CDOs) constitute an important subclass of asset backed
securities. The evaluation of CDOs relies on mathematical modeling and on simulation as …

Ziel dieses Kapitels ist die Anwendung der in den vorangegangenen Kapiteln hergeleiteten
Theorie auf die Bewertung von Kreditderivaten. Die Auswahl der Produkte und deren …

Transition matrices are an important determinant for risk management and VaR calculations
in credit portfolios. It is well known that rating migration behavior is not constant through …

要 旨金融実務では, 周辺分布間の依存構造を扱う 1 つのツールとして, 近年,
多変量分布を周辺分布と分布間の依存構造に分離して表現した関数である 「コピュラ (copula)」 …

Values of tranche spreads of collateralized debt obligations (CDOs) are driven by the joint
default performance of the assets in the collateral pool. The dependence between the …

This thesis deals with credit risk modeling and related mathematical issues. In particular we
study first-passage models for credit risk, where obligors default upon first passage of …

Over the course of a few decades, asset securitization has evolved into a vast and diverse
financial instrument. Bases for the marketability of these securities are valuation and risk …