Mathematics and Credit Risk

02.05.2005 - 30.04.2010
Research funding project
Stochastic methods of mathematical finance shall be applied to the management of credit risk, a topic of special importance in view of Basel II. Different aspects of credit risk management will be modeled mathematically and implemented practically; the interdisciplinary composition of the project team should make this possible. Applications are expected in particular with respect to the optimal design of credit derivatives.

People

Project leader

Sub project leader

Project personnel

Institute

Grant funds

  • WWTF Wiener Wissenschafts-, Forschu und Technologiefonds (National) Vienna Science and Technology Fund (WWTF)

Research focus

  • Beyond TUW-research focus: 60%
  • Risk based Design: 10%
  • Mathematical and Algorithmic Foundations: 20%
  • Modeling and Simulation: 10%

Keywords

GermanEnglish
Kreditrisikocredit risk
Zeitliche Struktur der Kreditrisikozuschlägeterm structure of credit spreads
Abhängigkeiten von Kreditausfällendependencies of defaults
Modellierung des Kreditrisikozuschlagscredit spread modelling
Kreditderivatecredit derivatives
Kreditwürdigkeitcredit rating
Optimale Risikoübertragungoptimal risk transfer
Industriemodelle für Kreditrisikenindustry models for credit risk
CreditRisk+CreditRisk+
Approximationsgüteapproximation quality
Modellanpassungmodel calibration
Gegenparteirisiko für exotische Derivatecounterparty credit exposure for exotic derivatives

External partner

  • Wirtschaftsuniversität Wien, Institut für Kreditwirtschaft
  • Institut für Mathematik, Universität Wien

Publications