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Credit Risk Pricing Models, 2e: Theory and Practice

Credit Risk Pricing Models, 2e: Theory and Practice Cover

 

Synopses & Reviews

Publisher Comments:

The markets dealing with financial products related to credit risk have been booming over the last years. This has encouraged practitioners and academics at the same time to consider and develop sophisticated models for credit risk pricing. This book gives a deep insight into the latest basic and advanced credit risk modelling techniques covering not only the standard structural, reduced form and hybrid approaches but also showing how these methods can be applied to practice. Therefore, questions like the choice of an appropriate model, suitable parameter estimation and calibration techniques as well as back-testing issues are addressed. The book covers a broad range of financial instruments such as all kinds of defaultable fixed and floating rate debt, credit derivatives and collateralised debt obligations. In addition, there is a special emphasis on the discussion of data issues like the estimation of consistent transition matrices or the modelling of recovery rates. A lot of market data and latest credit market information completes the book. This volume will be a valuable source for the financial community involved in pricing credit linked financial instruments. In addition, the book can be used by students and academics to get a comprehensive overview of the most important credit risk modelling issues.

Synopsis:

Credit Risk Pricing Models - now in its second edition - gives a deep insight into the latest basic and advanced credit risk modelling techniques covering not only the standard structural, reduced form and hybrid approaches but also showing how these methods can be applied to practice. The text covers a broad range of financial instruments, including all kinds of defaultable fixed and floating rate debt, credit derivatives and collateralised debt obligations.This volume will be a valuable source for the financial community involved in pricing credit linked financial instruments. In addition, the book can be used by students and academics for a comprehensive overview of the most important credit risk modelling issues.

Synopsis:

Credit Risk Pricing Models - now in its second edition - gives a deep insight into the latest basic and advanced credit risk modelling techniques covering not only the standard structural, reduced form and hybrid approaches but also showing how these methods can be applied to practice. The text covers a broad range of financial instruments, including all kinds of defaultable fixed and floating rate debt, credit derivatives and collateralised debt obligations.This volume will be a valuable source for the financial community involved in pricing credit linked financial instruments. In addition, the book can be used by students and academics for a comprehensive overview of the most important credit risk modelling issues.

Table of Contents

Introduction.- Modelling Credit Risk Factors.- Pricing Corporate and Sovereign Bonds.- Correlated Defaults.- Pricing Credit Derivatives.- Collateralized Debt Obligations.- Case Study: A Three-Factor Model for Pricing Credit Linked Financial Instruments.- Some Definitions of S&P; Technical Proofs; Pricing of Credit Derivatives: Extensions.

Product Details

ISBN:
9783540404668
Publisher:
Springer
Location:
Berlin, Heidelberg
Author:
Schmid, Bernd
Subject:
Finance
Subject:
Applied
Subject:
bond portfolio optimisation
Subject:
collateralised debt obligations
Subject:
Credit derivatives
Subject:
credit risk models
Subject:
defaultable financial instruments
Subject:
Finance/Investment/Banking
Subject:
Quantitative Finance
Subject:
Business-Accounting and Finance
Subject:
Fina
Subject:
nce/Investment/Banking
Subject:
Economics
Subject:
Language, literature and biography
Subject:
mathematics and statistics
Copyright:
Edition Number:
2
Edition Description:
2nd ed. 2004
Series:
Springer Finance
Publication Date:
20040305
Binding:
HARDCOVER
Language:
English
Pages:
394
Dimensions:
235 x 155 mm 1610 gr

Related Subjects

» Business » Accounting and Finance
» Science and Mathematics » Mathematics » Applied
» Science and Mathematics » Mathematics » Calculus » General
» Science and Mathematics » Mathematics » Modeling

Credit Risk Pricing Models, 2e: Theory and Practice
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Product details 394 pages Springer-Verlag - English 9783540404668 Reviews:
"Synopsis" by , Credit Risk Pricing Models - now in its second edition - gives a deep insight into the latest basic and advanced credit risk modelling techniques covering not only the standard structural, reduced form and hybrid approaches but also showing how these methods can be applied to practice. The text covers a broad range of financial instruments, including all kinds of defaultable fixed and floating rate debt, credit derivatives and collateralised debt obligations.This volume will be a valuable source for the financial community involved in pricing credit linked financial instruments. In addition, the book can be used by students and academics for a comprehensive overview of the most important credit risk modelling issues.
"Synopsis" by , Credit Risk Pricing Models - now in its second edition - gives a deep insight into the latest basic and advanced credit risk modelling techniques covering not only the standard structural, reduced form and hybrid approaches but also showing how these methods can be applied to practice. The text covers a broad range of financial instruments, including all kinds of defaultable fixed and floating rate debt, credit derivatives and collateralised debt obligations.This volume will be a valuable source for the financial community involved in pricing credit linked financial instruments. In addition, the book can be used by students and academics for a comprehensive overview of the most important credit risk modelling issues.
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