信用风险被大量应用于投资组合信用风险违约模型中，借助精算数学形成的一种方法论。冈拉克所著的《银行业中的信用风险》全面讲述了信用风险模型的现状和最新进展，被广泛地应用于银行业中。

本书的目标读者是金融数学、银行业和金融业的研究生和相关的科研人员，书中不仅介绍了模型本身，也阐述了它在描述、处理和定价信用风险中的能力。这将是相关行业不可或缺的工具。

Preface

Contributors

1 Introduction

2 Basics of CreditRisk+

3 Capital Allocation with CreditRisk+

4 Risk Factor Wansformations Relating CreditRisk+ and CreditMetrics

5 Numerically Stable Computation of CreditRisk+

6 Enhanced CreditRisk+

7 Saddlepoint Approximation

8 Fourier Inversion Techniques for CreditRisk+

9 Incorporating Default Correlations and Severity Variations

10 Dependent Risk Factors

11 Integrating Rating Migrations

12 An Analytic Approach to Rating Transitions

13 Dependent Sectors and an Extension to Incorporate Market Risk

14 Econometric Methods for Sector Analysis

15 Estimation of Sector Weights from Real-World Data

16 Risk-Return Analysis of Credit Portfolios

17 Numerical Techniques for Determining Portfolio Credit Risk

18 Some Remarks on the Analysis of Asset-Backed Securities

19 Pricing and Hedging of Structured Credit Derivatives

Index