CREDIT RISK VALUATION | RLC MM FEB-UI

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CREDIT RISK VALUATION

BIELECKI, TOMASZ R. - Personal Name; RUTKOWSKI, MAREK - Personal Name;

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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10007545 332.632 BIE c 3th RLC MM (Rak Buku Umum) Available

Detail Information

Series Title: -
Statement of Responsibility: Tomasz R. Bielecki
Call Number: 332.632 BIE c 3th
Publisher: New York : Springer., 2002
Collation: xviii, 501 p. : ill ; 24cm.
Language: English
ISBN/ISSN: 3-540-67593-0
Classification: 332.632
Content Type: -
Edition: 3rd. ed.
Subject(s): Risk Management
Credit Rating
Credit Management
Specific Detail Info: -

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