Introduction to Credit Risk Modeling av Christian (Munich Germany) Bluhm, Ludger (University of Giessen Germany) Overbeck, Christoph (Munich Germany)

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<P><EM><U>Contains Nearly 100 Pages of New Material</U></EM></P><P>The recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model credit portfolios,<STRONG> Introduction to Credit Risk Modeling, Second Edition</STRONG> presents updates on model developments that have occurred since the publication of the best-selling first edition.</P><P></P><P><STRONG>New to the Second Edition</STRONG></P><UL><P><LI>An expanded section on techniques for the generation of loss distributions</LI><LI>Introductory sections on new topics, such as spectral risk measures, an axiomatic approach to capital allocation, and nonhomogeneous Markov chains</LI><LI>Updated sections on the probability of default, exposure-at-default, loss-given-default, and regulatory capital </LI><LI>A new section on multi-period models</LI><LI>