An Introduction to Credit Risk Modeling外文

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1、©2003CRCPressLLCPrefaceInbanking,especiallyinriskmanagement,portfoliomanagement,andstructuredfinance,solidquantitativeknow-howbecomesmoreandmoreimportant.Wehadatwo-foldintentionwhenwritingthisbook:First,thisbookisdesignedtohelpmathematiciansandphysicistsleavingtheacademicworldandstartingaprofessio

2、nasriskorportfoliomanagerstogetquickaccesstotheworldofcreditriskmanagement.Second,ourbookisaimedatbeinghelpfultoriskmanagerslookingforamorequantitativeapproachtocreditrisk.Followingthisintentionononeside,ourbookiswritteninaLectureNotesstyleverymuchreflectingthekeyword“introduction”alreadyusedinthe

3、titleofthebook.Weconsequentlyavoidelaboratingontechnicaldetailsnotreallynecessaryforunderstandingtheunderlyingidea.Ontheothersidewekeptthepresentationmathematicallypre-ciseandincludedsomeproofsaswellasmanyreferencesforreadersinterestedindivingdeeperintothemathematicaltheoryofcreditriskmanagement.

4、Themainfocusofthetextisonportfolioratherthansingleobligorrisk.Consequentlycorrelationsandfactorsplayamajorrole.More-over,mostofthetheoryinmanyaspectsisbasedonprobabilitytheory.Wethereforerecommendthatthereaderconsultsomestandardtextonthistopicbeforegoingthroughthematerialpresentedinthisbook.Never

5、thelesswetriedtokeepitasself-containedaspossible.Summarizingourmotivationforwritinganintroductorytextoncreditriskmanagementonecouldsaythatwetriedtowritethebookwewouldhavelikedtoreadbeforestartingaprofessioninriskmanagementsomeyearsago.MunichandFrankfurt,August2002ChristianBluhm,LudgerOverbeck,Chr

6、istophWagner©2003CRCPressLLCAcknowledgementsChristianBluhmwouldliketothankhiswifeTabeaandhischildrenSarahandNoafortheirpatienceduringthewritingofthemanuscript.Withoutthesupportofhisgreatfamilythisprojectwouldnothadcometoanend.LudgerOverbeckisgratefultohiswifeBettinaandhischildrenLeonard,Danieland

7、Clarafortheirongoingsupport.Weverymuchappreciatedfeedback,support,andcommentsonthemanuscriptbyourcolleagues.Questionsandremarksoftheaudiencesofseveralconferences,sem-inarsandlectures,wherepartsofthematerialcontainedint