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CREDIT RISK VALUATION : METHODS, MODELS, AND APPLICATIONS

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.

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10007443332.632 AMM c 2ndRLC MM (Rak Buku Umum)Available
Detail Information
Series Title
-
Statement of Responsibility
Call Number
332.632 AMM c 2nd
Publisher
New York : Springer.,
Collation
x, 255p. : ill ; 24cm.
Language
English
ISBN/ISSN
3-540-67805-0
Classification
332.632
Content Type
-
Edition
2nd. ed.
Subject(s)
Risk Management
Credit Rating
Credit Management
Specific Detail Info
-
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No other version available

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