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Credit Risk Valuation 2ND Edition Methods Models

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Credit Risk Valuation 2ND Edition Methods Models Cover

 

Synopses & Reviews

Publisher Comments:

This book offers an advanced introduction to models of credit risk valuation, concentrating on firm-value and reduced-form approaches and their application. Also included are new models for valuing derivative securities with credit risk. The book provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multivariate trees used to price derivative credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives.

Synopsis:

An advanced introduction to the models of credit risk valuation, this second edition is more than double the size of the original and includes new models and new results. Invaluable for economists and researchers in finance.

Description:

Includes bibliographical references (p. [237]-246) and index.

Table of Contents

Introduction.- Contingent Claim Valuation.- Credit Risk Models.- A Firm Value Pricing Model for Derivatives with Counterparty Default Risk.- A Hybrid Pricing Model for Contingent Claims with Credit Risk.- Pricing Credit Derivatives.- Conclusion.- Useful Tools from Martingale Theory.- References.- List of Figures.- List of Tables.- Index.

Product Details

ISBN:
9783540678052
Author:
Ammann, Manuel
Publisher:
Springer
Location:
Berlin, Heidelberg
Subject:
Management
Subject:
Investments & Securities
Subject:
Accounting - General
Subject:
Risk management
Subject:
Credit
Subject:
Credit ratings.
Subject:
Gestion du risque
Subject:
Investments & Securities - General
Subject:
Cotes de solvabilitâe
Subject:
Finance
Subject:
Bewertung
Subject:
Counterparty Risk
Subject:
Credit Risk
Subject:
Derivative
Subject:
Derivatives
Subject:
Insolvenzrisiko
Subject:
Kreditrisiko
Subject:
Martingales.
Subject:
Pricing
Subject:
Valuation
Subject:
Finance/Investment/Banking
Subject:
Quantitative Finance
Subject:
Business, Investing
Subject:
Economics
Subject:
Language, literature and biography
Subject:
mathematics and statistics
Copyright:
Edition Number:
2
Edition Description:
2nd ed. 2001. Corr. 2nd printing
Series:
Springer Finance
Series Volume:
no. 2001-1
Publication Date:
20020931
Binding:
HARDCOVER
Language:
English
Illustrations:
Yes
Pages:
265
Dimensions:
235 x 155 mm 1220 gr

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Related Subjects

Business » Accounting and Finance
Business » Investing
History and Social Science » Economics » General
Science and Mathematics » Biology » Molecular
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Credit Risk Valuation 2ND Edition Methods Models New Hardcover
0 stars - 0 reviews
$219.75 In Stock
Product details 265 pages Springer-Verlag Telos - English 9783540678052 Reviews:
"Synopsis" by , An advanced introduction to the models of credit risk valuation, this second edition is more than double the size of the original and includes new models and new results. Invaluable for economists and researchers in finance.
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