Credit Risk Valuation

Name: Credit Risk Valuation
Author: Manuel Ammann

Methods, Models, and Applications

Paperback Engels 2010 2e druk 9783642087332

180,99

In winkelwagen

Verwachte levertijd ongeveer 9 werkdagen

Samenvatting

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.

Specificaties

ISBN13:9783642087332

Taal:Engels

Bindwijze:paperback

Aantal pagina's:255

Uitgever:Springer Berlin Heidelberg

Druk:2

Hoofdrubriek:Financieel management, Financieel management

Serie:Springer Finance

Lezersrecensies

Wees de eerste die een lezersrecensie schrijft!

Schrijf een recensie

Uw cijfer

?

Log in om te stemmen

Inhoudsopgave

1. Introduction.- 2. Contingent Claim Valuation.- 3. Credit Risk Models.- 4. A Firm Value Pricing Model for Derivatives with Counterparty Default Risk.- 5. A Hybrid Pricing Model for Contingent Claims with Credit Risk.- 6. Pricing Credit Derivatives.- 7. Conclusion.- A. Useful Tools from Martingale Theory.- A.1 Probabilistic Foundations.- A.2 Process Classes.- A.3 Martingales.- A.4 Brownian Motion.- A.5 Stochastic Integration.- A.6 Change of Measure.- References.- List of Figures.- List of Tables.