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"This book comprises the papers presented and discussed at the SAA conference, held 24-25 November 2008. It offers an exchange of views on technical and implemental issues of financial models relevant for strategic asset allocation"--Provided by publisher
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CreditRisk+ is an important and widely implemented default- mode model of portfolio credit risk, based on a methodology from acturial mathematics. This book gives an account of the status quo as well as new and recent developments of the credit risk model CreditRisk+, which is widespread in...
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assets increase markedly during market downturns, leading to diversification failure at the very moment it is needed most …
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