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Mathematics in Financial Risk Management
Year Of Publication: 2007
Month Of Publication: March
Pages: 25
Download Count: 722
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 4-1-2007
Publisher: Administrator
Summary
The paper gives an overview of mathematical models and methods used in financial riskmanagement; the main area of application is credit risk. A brief introduction explains themathematical issues arising in the risk management of a portfolio of loans. The paper continueswith a formal overview of credit risk management models and discusses axiomaticapproaches to risk measurement. We close with a section on dynamic credit risk modelsused in the pricing of credit derivatives. Mathematical techniques used stem from probabilitytheory, statistics, convex analysis and stochastic process theory.
Author(s)
Eberlein, Ernst Sign in to follow this author
Frey, Rudiger Sign in to follow this author
Kalkbrener, Michael Sign in to follow this author
Overbeck, Ludger Sign in to follow this author
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