Quotation Frey, Rüdiger, Eberlein, E, Kalkbrener, M, Overbeck, L. 2007. Mathematics in Financial Risk Management. Jahresbericht der DMV 109 156-161.


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Abstract

The paper gives an overview of mathematical models and methods used in financial risk management; the main area of application is credit risk. A brief introduction explains the mathematical issues arising in the risk management of a portfolio of loans. The paper continues with a formal overview of credit risk management models and discusses axiomatic approaches to risk measurement. We close with a section on dynamic credit risk models used in the pricing of credit derivatives. Mathematical techniques used stem from probability theory, statistics, convex analysis and stochastic process theory

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Jahresbericht der DMV
Language English
Title Mathematics in Financial Risk Management
Volume 109
Year 2007
Page from 156
Page to 161
URL http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.122.9036

Associations

People
Frey, Rüdiger (Details)
External
Eberlein, E
Kalkbrener, M
Overbeck, L
Organization
Institute for Statistics and Mathematics IN (Details)
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