Credit risk pricing models
Subtitle: Theory and practice
Edition: 2. ed.
Series: Springer finance; Springer finance
Publisher: Springer
Published: 2010
Place of publication: Berlin
Language: eng
Number of pages: 383
ISBN-13: 9783642073359; 9783540247166
Subjects: Obligationer; Management; Kreditrisiko; Bonds; Mathematical models; Derivative securities; Kreditderivater; Credit; Risk management; Prices; Term structure of interest rates
Description: 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: title: 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 Technical Proofs; Pricing of Credit Derivatives: Extensions.