Mathematics in Financial Risk Management

Rüdiger Frey, E Eberlein, M Kalkbrener, L Overbeck

Publication: Scientific journalJournal article

Abstract

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
Original languageEnglish
Pages (from-to)156 - 161
JournalJahresbericht der DMV
Volume109
DOIs
Publication statusPublished - 1 May 2007

Cite this