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1、?2003CRCPressLLCPrefaceInbanking,especiallyinriskmanagement,portfoliomanagement,andstructured?nance,solidquantitativeknow-howbecomesmoreandmoreimportant.Wehadatwo-foldintentionwhenwritingthisbook:First,thisbookisdesignedtohelpmathematiciansandphysicistsleavingtheacademicworldandstartingaprofessio
2、nasriskorportfoliomanagerstogetquickaccesstotheworldofcreditriskmanagement.Second,ourbookisaimedatbeinghelpfultoriskmanagerslookingforamorequantitativeapproachtocreditrisk.Followingthisintentionononeside,ourbookiswritteninaLectureNotesstyleverymuchre?ectingthekeyword“introduction”alreadyusedinthe
3、titleofthebook.Weconsequentlyavoidelaboratingontechnicaldetailsnotreallynecessaryforunderstandingtheunderlyingidea.Ontheothersidewekeptthepresentationmathematicallypre-ciseandincludedsomeproofsaswellasmanyreferencesforreadersinterestedindivingdeeperintothemathematicaltheoryofcreditriskmanagement.
4、Themainfocusofthetextisonportfolioratherthansingleobligorrisk.Consequentlycorrelationsandfactorsplayamajorrole.More-over,mostofthetheoryinmanyaspectsisbasedonprobabilitytheory.Wethereforerecommendthatthereaderconsultsomestandardtextonthistopicbeforegoingthroughthematerialpresentedinthisbook.Never
5、thelesswetriedtokeepitasself-containedaspossible.Summarizingourmotivationforwritinganintroductorytextoncreditriskmanagementonecouldsaythatwetriedtowritethebookwewouldhavelikedtoreadbeforestartingaprofessioninriskmanagementsomeyearsago.MunichandFrankfurt,August2002ChristianBluhm,LudgerOverbeck,Chr
6、istophWagner?2003CRCPressLLCAcknowledgementsChristianBluhmwouldliketothankhiswifeTabeaandhischildrenSarahandNoafortheirpatienceduringthewritingofthemanuscript.Withoutthesupportofhisgreatfamilythisprojectwouldnothadcometoanend.LudgerOverbeckisgratefultohiswifeBettinaandhischildrenLeonard,Danieland
7、Clarafortheirongoingsupport.Weverymuchappreciatedfeedback,support,andcommentsonthemanuscriptbyourcolleagues.Questionsandremarksoftheaudiencesofseveralconferences,sem-inarsandlectures,wherepartsofthematerialcontainedint
