
 Mathematics in Financial Risk Management by Ernst Eberlein of the Universität Freiburg, March 31, 2007 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. AMS Classification: 62P05, 60G51. Keywords: Quantitative risk management, financial mathematics, credit risk, risk measures, Liborrate models, Lévy processes. Books Referenced in this paper: (what is this?) Download paper (381K PDF) 25 pages
