|
Usually ships within 6 to 8 working days
|
Rate this book...
Rating: 0.0/5 (0 votes cast)
|
|
|
|
|
Description of Credit Risk |
The main objective of Credit Risk: Modeling, Valuation and Hedging is to present a comprehensive survey of the past developments in the area of credit risk research, as well as to put forth the most recent advancements in this field. An important aspect of this text is that it attempts to bridge the gap between the mathematical theory of credit risk and the financial practice, which serves as the motivation for the mathematical modeling studied in the book. Mathematical developments are presented in a thorough manner and cover the structural (value-of-the-firm) and the reduced (intensity-based) approaches to credit risk modeling, applied both to single and to multiple defaults. In particular, the book offers a detailed study of various arbitrage-free models of defaultable term structures with several rating grades.
|
Contents of Credit Risk |
PART I: Structural Approach
1. Introduction to Credit Risk
2. Corporate Debt
3. First-Passage-Time Models
PART II: Hazard Processes
4. Hazard Function of a Random Time
5. Hazard Process of a Random Time
6. Martingale Hazard Process
7. Case of Several Random Times
PART III: Reduced-Form Modeling
8. Intensity-Based Valuation of Defaultable Claims
9. Conditionally Independent Defaults
10. Dependent Defaults
11. Markov Chains
12. Markovian Models of Credit Migrations
13. Heath-Jarrow-Morton Type Models
14. Defaultable Market Rates
15. Modeling of Market Rates
A Guide to References
References
Basic Notation
Subject Index
|
 Buyers of Credit Risk also bought
Other books by Marek Rutkowski
Bulk buying
| If you need bulk copies of Credit Risk, or are interested in opening a corporate account, please contact us. |
|
Shopping basket