TY - JOUR
TI - Mathematics in Financial Risk Management
AB - 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
SP - 156
EP - 161
UR - http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.122.9036
PY - 2007-05-01
JO - Jahresbericht der DMV
AU - Frey, RĂ¼diger
AU - Eberlein, E
AU - Kalkbrener, M
AU - Overbeck, L
ER -