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Credit Risk Valuation 2ND Edition Methods Modelsby Manuel Ammann
Synopses & Reviews
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.
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.
Includes bibliographical references (p. -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.
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