SOA QFI Track 参考书超全大合集

https://bbs.pinggu.org/thread-6906828-1-1.html

书籍名称：Introduction To Credit Risk Modeling

作者：Christian Bluhm, Ludger Overbeck, Christoph Wagner

出版年份：2010，2nd Edition 共193p，扫描版（可简单复制有误差）PDF

ISBN 978-1-58488-992-2

目录：

1 The Basics of Credit Risk Management
1.1 Expected Loss
1.2 Unexpected Loss
1.3 Regulatory Capital and the Basel Initiative
2 Modeling Correlated Defaults
2.1 The Bernoulli Model
2.2 The Poisson Model
2.3 Bernoulli Versus Poisson Mixture
2.4 An Overview of Today’s Industry Models
2.5 One-Factor/Sector Models
2.6 Loss Distributions by Means of Copula Functions
2.7 Working Example: Estimation of Asset Correlations

2.8 Generating the Portfolio Loss Correalations
3 Asset Value Models
3.1 Introduction and a Small Guide to the Literature
3.2 A Few Words about Calls and Puts
3.3 Merton’s Asset Value Model
3.4 Transforming Equity into Asset Values: A Working Approach
4 The CreditRisk+ Model
4.1 The Modeling Framework of CreditRisk+
4.2 Construction Step 1: Independent Obligors
4.3 Construction Step 2: Sector Model
5 Alternative Risk Measures and Capital Allocation
5.1 Coherent Risk Measures and Conditional Shortfall
5.2 Contributory Capital
6 Term Structure of Default Probability
6.1 Survival Function and Hazard Rate
6.2 Risk-neutral vs. Actual Default Probabilities
6.3 Term Structure Based on Historical Default Information
6.4 Term Structure Based on Market Spreads
7 Credit Derivatives
7.1 Total Return Swaps
7.2 Credit Default Products
7.3 Basket Credit Derivatives
7.4 Credit Spread Products
7.5 Credit-linked Notes
8 Collateralized Debt Obligations
8.1 Introduction to Collateralized Debt Obligations
8.2 Different Roles of Banks in the CDO Market
8.3 CDOs from the Modeling Point of View
8.4 Rating Agency Models: Moody’s BET
8.5 Conclusion
8.6 Some Remarks on the Literature

References

Index