The current financial market crisis has impressively demonstrated the importance of aneffective credit risk management for financial institutions. At the same time, the use and thevaluation of credit derivatives has been widely criticised as a result of the crisis. Over the pastdecade, credit...

Credit risk measurement and management become more important in all financial institutions in the light of the current financial crisis and the global recession. This particularly applies to most of the complex structured financing forms whose risk cannot be quantified with com-mon rating...

Das Arbeitspapier behandelt die verschiedenen Möglichkeiten zur Optionspreisbestimmung. Es beginnt mit einer Abhandlung der theoretischen Grundlagen und stellt danach unterschiedliche Modelle dar, bspw. Black-Scholes-Modell; Cox-Ross-Rubinstein-Modell usw.