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.
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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.
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Credit Risk Valuation
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Credit Risk Valuation: Methods, Models, and Applications
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Credit Risk Valuation
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Credit Risk Valuation
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Hardcover. Condizione: New. No Jacket. 2nd Edition. 2002.Hardcover.New.Ships from Japan.Usually ships in 1-2 working days. Codice articolo 2503
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Credit Risk Valuation
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Credit Risk Valuation
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hardcover. Condizione: New. In shrink wrap. Looks like an interesting title! Codice articolo SL-3540678050
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Credit Risk Valuation : Methods, Models, and Applications
Da: Buchpark, Trebbin, Germania
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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
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Credit Risk Valuation
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Condizione: New. pp. 268 2nd Corrected Printing. Codice articolo 26354821
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Credit Risk Valuation
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Credit Risk Valuation
Editore:
Springer Berlin Heidelberg Jun 2001, 2001
ISBN 10: 3540678050
ISBN 13: 9783540678052
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Da: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germania
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Buch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book offers an advanced introduction to the models of cre- dit risk valuation. It concentrates on firm-value and reducedform approaches and their applications in practice. Additionally, the book includes new models for valuing derivative securities with credit risk, focussing on options and forward contracts subject to counterparty default risk, but also treating options on creditrisky bonds and credit derivatives. The text provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multi-variate trees used to price derivative credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives. 268 pp. Englisch. Codice articolo 9783540678052
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