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preface
contributors
1  introduction
2  basics of creditrisk+
3  capital allocation with creditrisk+
4  risk factor wansformations relating creditrisk+ and creditmetrics
5  numerically stable computation of creditrisk+
6  enhanced creditrisk+
7  saddlepoint approximation
8  fourier inversion techniques for creditrisk+
9  incorporating default correlations and severity variations
10  dependent risk factors
11  integrating rating migrations
12  an analytic approach to rating transitions
13  dependent sectors and an extension to incorporate market risk
14  econometric methods for sector analysis
15  estimation of sector weights from real-world data
16  risk-return analysis of credit portfolios
17  numerical techniques for determining portfolio credit risk
18  some remarks on the analysis of asset-backed securities
19  pricing and hedging of structured credit derivatives
index