Credit Risk: Modeling, Valuation and Hedging
Paperback Engels 2010 9783642087073Samenvatting
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.
Specificaties
Lezersrecensies
Inhoudsopgave
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.
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