Modelling credit risk accurately is central to the practice of
mathematical finance. The majority of available texts are aimed at
an advanced level, and are more suitable for PhD students and
researchers. This volume of the Mastering Mathematical Finance
series addresses the need for a course intended for master's
students, final-year undergraduates, and practitioners. The book
focuses on the two mainstream modelling approaches to credit risk,
namely structural models and reduced-form models, and on pricing
selected credit risk derivatives. Balancing rigorous theory with
examples, it takes readers through a natural development of
mathematical ideas and financial intuition.
General
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