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




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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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=


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