Credit Risk: Modeling, Valuation and Hedging (Hardcover, 1st ed. 2002. Corr. 2nd printing 2004)

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.

General

Imprint:	Springer-Verlag
Country of origin:	Germany
Series:	Springer Finance
Release date:	2004
First published:	2004
Authors:	Tomasz R. Bielecki • Marek Rutkowski
Dimensions:	235 x 155 x 35mm (L x W x T)
Format:	Hardcover
Pages:	501
Edition:	1st ed. 2002. Corr. 2nd printing 2004
ISBN-13:	978-3-540-67593-8
Categories:	Books > Business & Economics > Finance & accounting > Finance > General Books > Business & Economics > Business & management > Sales & marketing > General Books > Science & Mathematics > Mathematics > Applied mathematics > Mathematical modelling Books > Money & Finance > General
LSN:	3-540-67593-0
Barcode:	9783540675938

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