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1、©2003CRCPressLLCPrefaceInbanking,especiallyinriskmanagement,portfoliomanagement,andstructuredfinance,solidquantitativeknow-howbecomesmoreandmoreimportant.Wehadatwo-foldintentionwhenwritingthisbook:First,thisbookisdesignedtohelpmathematiciansandphysicistsleavingtheacademi
2、cworldandstartingaprofessionasriskorportfoliomanagerstogetquickaccesstotheworldofcreditriskmanagement.Second,ourbookisaimedatbeinghelpfultoriskmanagerslookingforamorequantitativeapproachtocreditrisk.Followingthisintentionononeside,ourbookiswritteninaLectureNotesstylever
3、ymuchreflectingthekeyword“introduction”alreadyusedinthetitleofthebook.Weconsequentlyavoidelaboratingontechnicaldetailsnotreallynecessaryforunderstandingtheunderlyingidea.Ontheothersidewekeptthepresentationmathematicallypre-ciseandincludedsomeproofsaswellasmanyreferencesf
4、orreadersinterestedindivingdeeperintothemathematicaltheoryofcreditriskmanagement.Themainfocusofthetextisonportfolioratherthansingleobligorrisk.Consequentlycorrelationsandfactorsplayamajorrole.More-over,mostofthetheoryinmanyaspectsisbasedonprobabilitytheory.Wethereforere
5、commendthatthereaderconsultsomestandardtextonthistopicbeforegoingthroughthematerialpresentedinthisbook.Neverthelesswetriedtokeepitasself-containedaspossible.Summarizingourmotivationforwritinganintroductorytextoncreditriskmanagementonecouldsaythatwetriedtowritethebookwew
6、ouldhavelikedtoreadbeforestartingaprofessioninriskmanagementsomeyearsago.MunichandFrankfurt,August2002ChristianBluhm,LudgerOverbeck,ChristophWagner©2003CRCPressLLCAcknowledgementsChristianBluhmwouldliketothankhiswifeTabeaandhischildrenSarahandNoafortheirpatienceduringth
7、ewritingofthemanuscript.Withoutthesupportofhisgreatfamilythisprojectwouldnothadcometoanend.LudgerOverbeckisgratefultohiswifeBettinaandhischildrenLeonard,DanielandClarafortheirongoingsupport.Weverymuchappreciatedfeedback,support,andcommentsonthemanuscriptbyourcolleagues.
8、Questionsandremarksoftheaudiencesofseveralconferences,sem-inarsandlectures,wherepartsofthematerialcontainedint
