• 0 Introduction
  • 1 The Loss Process
  • 1.1 Definition
  • 1.2 Modelling the Risks
  • 1.3 Treatment of the Exposure Process
  • 1.4 Treatment of the Default Process
  • 1.5 Comparison to the Approaches of CreditMetrics and CreditRisk+
  • 2 Modelling the Correlation
  • 2.1 Economic Surroundings
  • 2.2 Theoretical Models
  • 2.3 Response Functions
  • 2.4 Empirical Estimations
  • 3 Conclusion
  • 4 Extensions