Tomasz R. Bielecki, Marek Rutkowski

Credit Risk: Modeling, Valuation and Hedging (eBook, PDF)

• Format: PDF

Produktbeschreibung

This book will be an important reference for practitioners involved with managing portfolios sensitive to credit risk. Graduate students and researchers in mathematical finance, financial engineering, finance and probability will also benefit from the book.

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Produktdetails

• Verlag: Springer Berlin Heidelberg
• Seitenzahl: 501
• Erscheinungstermin: 14. März 2013
• Englisch
• ISBN-13: 9783662048214
• Artikelnr.: 53086494

Autorenporträt

1

Inhaltsangabe

1. Introduction to Credit Risk.- 2. Corporate Debt.- 3. First-Passage-Time Models.- 4. Hazard Function of a Random Time.- 5. Hazard Process of a Random Time.- 6. Martingale Hazard Process.- 7. Case of Several Random Times.- 8. Intensity-Based Valuation of Defaultable Claims.- 9. Conditionally Independent Defaults.- 10. Dependent Defaults.- 11. Markov Chains.- 12. Markovian Models of Credit Migrations.- 13. Heath-Jarrow-Morton Type Models.- 14. Defaultable Market Rates.- 15. Modeling of Market Rates.- References.- Basic Notation.

Rezensionen

From the reviews: T.R. Bielecki and M. Rutkowski Credit Risk Modeling, Valuation and Hedging "A fairly complete overview of the most important recent developments of credit risk modelling from the viewpoint of mathematical finance . . . It provides an excellent treatment of mathematical aspects of credit risk and will also be useful as a reference for technical details to traders and analysts dealing with credit-risky assets. It is a worthwhile addition to the literature and will serve as highly recommended reading for students and researchers in the subject area for some years to come." -MATHEMATICAL REVIEWS "The main purpose of this outstanding monograph is to present a comprehensive survey of the existing developments in the area of credit risk research, as well as to put forth the most recent advancements in this field. An important feature of this book is its attempt to bridge the gap between the mathematical theory of credit risk and the financial practice. ... The content of this book provides an indispensable guide to graduate students, researchers, and also to advanced practitioners in the fields ... ." (Neculai Curteanu, Zentralblatt MATH, Vol. 979, 2002)