Credit Risk
Modeling, Valuation and Hedging
Tomasz R. Bielecki, Marek Rutkowski
500 pages, parution le 28/11/2001
Résumé
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.
Contents
- Introduction to Credit Risk.
- Properties of Random Times.
- Analysis of Jump Processes.
- Defaultable Corporate Debt: Structural Approach.
- Valuation of Defaultable Claims: Intensity
- Based Approach.
- Modelling of Defaultable Term Structure.
- Hedging of Credit Risk.
- Credit Derivatives.
- Credit Risk Management.
Caractéristiques techniques
| PAPIER | |
| Éditeur(s) | Springer |
| Auteur(s) | Tomasz R. Bielecki, Marek Rutkowski |
| Parution | 28/11/2001 |
| Nb. de pages | 500 |
| Format | 16 x 24 |
| Couverture | Relié |
| Poids | 900g |
| Intérieur | Noir et Blanc |
| EAN13 | 9783540675938 |
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