Pricing Credit Derivatives in a 'Libor Market Model'

Damm, Hanno

Editore: GRIN Verlag, 2013
ISBN 10: 3638709140 / ISBN 13: 9783638709149
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Riassunto: Diploma Thesis from the year 2002 in the subject Business economics - Investment and Finance, grade: 1,0, University of Bonn (Institut für Gesellschafts- und Wirtschaftswissenschaften, Statistische Abteilung), 48 entries in the bibliography, language: English, comment: The growing importance of credit derivatives creates the need to price them in a market consistent manner. In this thesis the well known and accepted Libor Market Modelis extended following Schoenbucher (2000). The thesis consists of two main parts: one describing and explaining the theoretical framework that will yield the pricing formulae for credit derivatives, and a second part explaining how to practically implement and calibrate the model. , abstract: The growing importance of credit derivatives creates the need to price them in a market consistent manner. In this thesis the well known and accepted Libor Market Model is extended following Schönbucher (2000). The thesis consists of two main parts: one describing and explaining the theoretical framework that will yield the pricing formulae for credit derivatives, and a second part explaining how to practically implement and calibrate the model. The second part also reports results of our implementation. We show that approximations introduced by Schönbucher (2000) hold and that the model can be used to price defaultable bonds, credit default swaps as well as options on credit default swaps. The thesis has been written at the Department of Statistics, University of Bonn in cooperation with Deutsche Postbank AG Credit Risk Management.

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Titolo: Pricing Credit Derivatives in a 'Libor ...
Casa editrice: GRIN Verlag
Data di pubblicazione: 2013
Condizione libro: very good

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Descrizione libro GRIN Verlag, 2013. Condizione libro: New. This item is printed on demand for shipment within 3 working days. Codice libro della libreria LP9783638709149

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Descrizione libro GRIN Verlag. Paperback. Condizione libro: New. Paperback. 88 pages. Dimensions: 8.1in. x 5.8in. x 0.3in.Diploma Thesis from the year 2002 in the subject Business economics - Investment and Finance, grade: 1, 0, University of Bonn (Institut fr Gesellschafts- und Wirtschaftswissenschaften, Statistische Abteilung), 48 entries in the bibliography, language: English, comment: The growing importance of credit derivatives creates the need to price them in a market consistent manner. In this thesis the well known and accepted Libor Market Modelis extended following Schoenbucher (2000). The thesis consists of two main parts: one describing and explaining the theoretical framework that will yield the pricing formulae for credit derivatives, and a second part explaining how to practically implement and calibrate the model. , abstract: The growing importance of credit derivatives creates the need to price them in a market consistent manner. In this thesis the well known and accepted Libor Market Model is extended following Schnbucher (2000). The thesis consists of two main parts: one describing and explaining the theoretical framework that will yield the pricing formulae for credit derivatives, and a second part explaining how to practically implement and calibrate the model. The second part also reports results of our implementation. We show that approximations introduced by Schnbucher (2000) hold and that the model can be used to price defaultable bonds, credit default swaps as well as options on credit default swaps. The thesis has been written at the Department of Statistics, University of Bonn in cooperation with Deutsche Postbank AG Credit Risk Management. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Paperback. Codice libro della libreria 9783638709149

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Descrizione libro GRIN Verlag, Germany, 2013. Paperback. Condizione libro: New. 1. Auflage.. 210 x 148 mm. Language: English . Brand New Book ***** Print on Demand *****.Diploma Thesis from the year 2002 in the subject Business economics - Investment and Finance, grade: 1,0, University of Bonn (Institut fur Gesellschafts- und Wirtschaftswissenschaften, Statistische Abteilung), 48 entries in the bibliography, language: English, comment: The growing importance of credit derivatives creates the need to price them in a market consistent manner. In this thesis the well known and accepted Libor Market Modelis extended following Schoenbucher (2000). The thesis consists of two main parts: one describing and explaining the theoretical framework that will yield the pricing formulae for credit derivatives, and a second part explaining how to practically implement and calibrate the model., abstract: The growing importance of credit derivatives creates the need to price them in a market consistent manner. In this thesis the well known and accepted Libor Market Model is extended following Schonbucher (2000). The thesis consists of two main parts: one describing and explaining the theoretical framework that will yield the pricing formulae for credit derivatives, and a second part explaining how to practically implement and calibrate the model. The second part also reports results of our implementation. We show that approximations introduced by Schonbucher (2000) hold and that the model can be used to price defaultable bonds, credit default swaps as well as options on credit default swaps. The thesis has been written at the Department of Statistics, University of Bonn in cooperation with Deutsche Postbank AG Credit Risk Management. Codice libro della libreria AAV9783638709149

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