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Credit Risk: Modeling, Valuation and Hedging (Springer Finance)

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Credit Risk: Modeling, Valuation and Hedging (Springer Finance) Cover

 

Synopses & Reviews

Publisher Comments:

Mathematical finance and financial engineering have been rapidly expanding fields of science over the past three decades. The main reason behind this phenomenon has been the success of sophisticated quantitative methodologies in helping professionals to manage financial risks. The newly developed credit derivatives industry has grown around the need to handle credit risk, which is one of the fundamental factors of financial risk. In recent years, we have witnessed a tremendous acceleration in research efforts aimed at better apprehending, modeling and hedging of this kind of risk. One of the objectives has been to understand links between credit risk and other major sources of uncertainty, such as the market risk or the liquidity risk. The main objective of this monograph is to present a comprehensive survey ofthe past developments in the area of credit risk research, as well as 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. Mahtematical developments are presented in a thorough manner and cover the structural (value-of-the-firm) and the reduced-form (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. This book will serve as a valuable reference for financial analysts and traders involved with credit derivatives. Some aspects of the book may also be useful for market practitioners with managing credit-risk sensitives portfolios. Graduate students and researchers in areas such as finance theory, mathematical finance, financial engineering and probability theory will benefit from the book as well. On the technical side, readers are assumed to be familiar with graduate level probability theory, theory of stochastic processes, and elements of stochastic analysis and PDEs; some acquaintance with arbitrage pricing theory is also

Synopsis:

The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.

About the Author

  1

Table of Contents

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. This volume will serve as a valuable reference for financial analysts and traders involved with credit derivatives. Some aspects of the book may also be useful for market practitioners engaged in managing credit-risk sensitive portfolios. Graduate students and researchers in areas such as finance theory, mathematical finance, financial engineering and probability theory will benefit from the book as well. On the technical side, readers are assumed to be familiar with graduate level probability theory, theory of stochastic processes, and elements of stochastic analysis and PDEs; some aquaintance with arbitrage pricing theory is also expected. A systematic exposition of mathematical techniques underlying the intensity-based approach is however provided.

Product Details

ISBN:
9783642087073
Author:
Bielecki, Tomasz R.
Publisher:
Springer
Author:
Rutkowski, Marek
Location:
Berlin, Heidelberg
Subject:
Finance
Subject:
60G44
Subject:
60H05
Subject:
60J27
Subject:
91B28
Subject:
91B70
Subject:
Arbitrage pricing
Subject:
Credit derivatives
Subject:
Credit Risk
Subject:
defaultable bonds
Subject:
dynamic hedging
Subject:
Quantitative Finance
Subject:
Probability Theory and Stochastic Processes This book will be an important reference for practitioners involved with managing portfolios sensitive to credit risk. Graduate students and researchers in mathematical finance, financial engineering, finance an
Subject:
Business-Accounting and Finance
Subject:
Game Theory
Subject:
Probability Theory and Stochastic Processes
Subject:
Applied
Subject:
Mathematics
Subject:
B
Subject:
mathematics and statistics
Subject:
Distribution (Probability theory)
Copyright:
Edition Description:
Softcover reprint of hardcover 1st ed. 2002
Series:
Springer Finance
Publication Date:
20101201
Binding:
TRADE PAPER
Language:
English
Pages:
519
Dimensions:
235 x 155 mm 779 gr

Related Subjects

Business » Accounting and Finance
Health and Self-Help » Health and Medicine » Pharmacology
Science and Mathematics » Mathematics » Applied
Science and Mathematics » Mathematics » Modeling
Science and Mathematics » Mathematics » Probability and Statistics » General
Science and Mathematics » Mathematics » Probability and Statistics » Statistics

Credit Risk: Modeling, Valuation and Hedging (Springer Finance) New Trade Paper
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Product details 519 pages Springer - English 9783642087073 Reviews:
"Synopsis" by , The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.
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