Sinossi
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.
Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.
Contenuti
1. Introduction.- 2. Contingent Claim Valuation.- 3. Credit Risk Models.- 4. A Firm Value Pricing Model for Derivatives with Counterparty Default Risk.- 5. A Hybrid Pricing Model for Contingent Claims with Credit Risk.- 6. Pricing Credit Derivatives.- 7. Conclusion.- A. Useful Tools from Martingale Theory.- A.1 Probabilistic Foundations.- A.2 Process Classes.- A.3 Martingales.- A.4 Brownian Motion.- A.5 Stochastic Integration.- A.6 Change of Measure.- References.- List of Figures.- List of Tables.
Product Description
1
Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.
Risultati della ricerca per Credit Risk Valuation: Methods, Models, and Applications
Immagini fornite dal venditore
Credit Risk Valuation
Da: Zoom Books Company, Lynden, WA, U.S.A.
Valutazione del venditore 5 su 5 stelle
Condizione: very_good. Book is in very good condition and may include minimal underlining highlighting. The book can also include "From the library of" labels. May not contain miscellaneous items toys, dvds, etc. . We offer 100% money back guarantee and 24 7 customer service. Codice articolo ZBV.3540678050.VG
Compra usato
EUR 22,96
Spedizione gratuita
Spedito in U.S.A.
Spedito in U.S.A.
Quantità: 1 disponibili
Foto dell'editore
Credit Risk Valuation
Da: HPB-Red, Dallas, TX, U.S.A.
Valutazione del venditore 5 su 5 stelle
Hardcover. Condizione: Good. Connecting readers with great books since 1972! Used textbooks may not include companion materials such as access codes, etc. May have some wear or writing/highlighting. We ship orders daily and Customer Service is our top priority! Codice articolo S_448939090
Compra usato
EUR 21,02
Spedizione EUR 3,23
Spedito in U.S.A.
Spedito in U.S.A.
Quantità: 1 disponibili
Foto dell'editore
Credit Risk Valuation
Da: Griffin Books, Stamford, CT, U.S.A.
Valutazione del venditore 5 su 5 stelle
hardcover. Condizione: As New. 2nd. Looks brand new and unread but has ownership ink to title page. A34 Please email for photos. Larger books or sets may require additional shipping charges. Books sent via US Postal. Codice articolo 114091
Compra usato
EUR 66,57
Spedizione EUR 5,17
Spedito in U.S.A.
Spedito in U.S.A.
Quantità: 1 disponibili
Foto dell'editore
Credit Risk Valuation
Da: Corner of a Foreign Field, Tokyo, TOKYO, Giappone
Valutazione del venditore 5 su 5 stelle
Hardcover. Condizione: New. No Jacket. 2nd Edition. 2002.Hardcover.New.Ships from Japan.Usually ships in 1-2 working days. Codice articolo 2503
Compra nuovo
EUR 71,00
Spedizione EUR 10,34
Spedito da Giappone a U.S.A.
Spedito da Giappone a U.S.A.
Quantità: 1 disponibili
Foto dell'editore
Credit Risk Valuation
Da: GoldBooks, Denver, CO, U.S.A.
Valutazione del venditore 5 su 5 stelle
Condizione: new. Codice articolo 79U49_16_3540678050
Compra nuovo
EUR 77,73
Spedizione EUR 3,66
Spedito in U.S.A.
Spedito in U.S.A.
Quantità: 1 disponibili
Foto dell'editore
Credit Risk Valuation
Da: BennettBooksLtd, San Diego, NV, U.S.A.
Valutazione del venditore 5 su 5 stelle
hardcover. Condizione: New. In shrink wrap. Looks like an interesting title! Codice articolo Q-3540678050
Compra nuovo
EUR 111,88
Spedizione EUR 5,99
Spedito in U.S.A.
Spedito in U.S.A.
Quantità: 1 disponibili
Foto dell'editore
Credit Risk Valuation
Da: BennettBooksLtd, San Diego, NV, U.S.A.
Valutazione del venditore 5 su 5 stelle
hardcover. Condizione: New. In shrink wrap. Looks like an interesting title! Codice articolo SL-3540678050
Compra nuovo
EUR 111,88
Spedizione EUR 5,99
Spedito in U.S.A.
Spedito in U.S.A.
Quantità: 1 disponibili
Foto dell'editore
Credit Risk Valuation : Methods, Models, and Applications
Da: Buchpark, Trebbin, Germania
Valutazione del venditore 5 su 5 stelle
Condizione: Sehr gut. Zustand: Sehr gut | Seiten: 268 | Sprache: Englisch | Produktart: Bücher | Credit risk is an important consideration in most financial transactions. As for any other risk, the risk taker requires compensation for the undiversifiable part of the risk taken. In bond markets, for example, riskier issues have to promise a higher yield to attract investors. But how much higher a yield? Using methods from contingent claims analysis, credit risk valuation models attempt to put a price on credit risk. This monograph gives an overview of the current methods for the valu ation of credit risk and considers several applications of credit risk models in the context of derivative pricing. In particular, credit risk models are in corporated into the pricing of derivative contracts that are subject to credit risk. Credit risk can affect prices of derivatives in a variety of ways. First, financial derivatives can be subject to counterparty default risk. Second, a derivative can be written on a security which is subject to credit risk, such as a corporate bond. Third, the credit risk itself can be the underlying vari able of a derivative instrument. In this case, the instrument is called a credit derivative. Fourth, credit derivatives may themselves be exposed to counter party risk. This text addresses all of those valuation problems but focuses on counterparty risk. The book is divided into six chapters and an appendix. Chapter 1 gives a brief introduction into credit risk and motivates the use of credit risk models in contingent claims pricing. Codice articolo 83475/2
Compra usato
EUR 46,44
Spedizione EUR 105,00
Spedito da Germania a U.S.A.
Spedito da Germania a U.S.A.
Quantità: 2 disponibili
Foto dell'editore
Credit Risk Valuation
Da: Lucky's Textbooks, Dallas, TX, U.S.A.
Valutazione del venditore 5 su 5 stelle
Condizione: New. Codice articolo ABLIING23Mar3113020174767
Compra nuovo
EUR 158,44
Spedizione EUR 3,44
Spedito in U.S.A.
Spedito in U.S.A.
Quantità: Più di 20 disponibili
Foto dell'editore
Credit Risk Valuation
Da: Ria Christie Collections, Uxbridge, Regno Unito
Valutazione del venditore 5 su 5 stelle
Condizione: New. In. Codice articolo ria9783540678052_new
Compra nuovo
EUR 159,48
Spedizione EUR 13,81
Spedito da Regno Unito a U.S.A.
Spedito da Regno Unito a U.S.A.
Quantità: Più di 20 disponibili