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Credit Risk Valuation: Methods, Models, and Applications (Springer Finance)

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Credit Risk Valuation: Methods, Models, and Applications (Springer Finance) 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.

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:
9783642087332
Author:
Ammann, Manuel
Publisher:
Springer
Location:
Berlin, Heidelberg
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 Description:
Softcover reprint of hardcover 2nd ed. 2001
Series:
Springer Finance
Publication Date:
20101201
Binding:
TRADE PAPER
Language:
English
Pages:
265
Dimensions:
235 x 155 mm 410 gr

Related Subjects

Business » Accounting and Finance
Business » Investing
Science and Mathematics » Physics » General

Credit Risk Valuation: Methods, Models, and Applications (Springer Finance) New Trade Paper
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