• 1. Introduction
  • 2. Base Model: Representing Loans as Securities
  • 3. Extended Model: Collateral Correlated with Default Process
  • 4. Calibration
  • 5. Applications
  • 5.1. Risk Management of a Complex Collateral Structure
  • 5.2. Loan Portfolio Risk management
  • 5.3. Applications of the Extended Model
  • 6. Conclusion
  • 7. Appendix
  • Literatur