*Wissenschaftliches Programm*   *Liste der Vortragenden*

Sektion 5
Donnerstag, 21.09.2000, 14.00–14.45 Uhr, POT 361

Mathematical Modelling in Credit Risk Management

Christian Bluhm, Deutsche Bank AG, Risk Analytics & Instruments

In our talk we outline some methodology for modelling credit risk in banking. Central topics of our survey are the modelling of loss distributions, risk constributions, capital allocation, estimation of systematic risk in uniform credit portfolios, mathematical treatment of asset backed securities, etc. The talk will be self-contained, without assuming prior knowledge in finance.