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Document type:
Diplomarbeit 
Author(s):
Braun, Alexander 
Title:
Credit Portfolio Modeling - Credit Risk vs. One-Factor Copula models 
Abstract:
The recent financial crisis revealed limits of current financial models in modelling loss distributions which in turn caused problems associated with risk measurement and credit derivatives pricing. In this thesis a reduced form model approach based on the CreditRisk+ framework (by Credit Suisse First Boston (1997)) for modelling a loss distribution of a given portfolio of obligors will be presented and implemented using suitable computationally efficient numerical methods. This model allows for...    »
 
Referee:
Prof. Dr. Rudi Zagst 
Date of acceptation:
24.10.2011 
Year:
2011 
Quarter:
4. Quartal 
Month:
Oct 
Language:
en 
University:
Technische Universität München 
Faculty:
Fakultät für Mathematik 
Format:
Text