Description du document

The presented book discusses some advanced mathematical modelling frameworks in the financial risk theory. It proposes a rigorous formal description of two main conceptes of the credit risk. We consider the structural models as well as the reduced-form risk techniques. In this book, we mainly focus on the multi-period computational techniques associated with the CreditMetrics based multi-factor structural model. For the time dependence of the risk factors under consideration we use some simplified time-series approaches, namely, we study the straight-forward auto-regressive abstractions. The main feature of the presented study is that we propose a conceptual development of the efficient numerical methods to calculate multi-period loss distribution. The obtained numerical schemes and results constitute some further advances in computational financial engineering and are of an essential practical interest. This book can be used in the modern financial market research and risk analysis. It can also be helpful for a practical risk management associated with the development of the modern trading algorithms.