Credit Risk Valuation Methods, Models, and Applications
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Publisher: Springer Summary: This book offers an advanced introduction to the models of credit risk valuation. It concentrates on firm-value and reduced-form 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 credit-risky bonds and credit derivativ [read more]
9783540678052
ISBN:3540678050
Edition: 2nd Pub Date: 2001Publisher: Springer Summary: This book offers an advanced introduction to the models of credit risk valuation. It concentrates on firm-value and reduced-form 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 credit-risky bonds and credit derivativ [read more]
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ISBN-13:
ISBN:
Edition: 2nd
Pub Date: 2001
Publisher: Springer
9783540678052
ISBN:
3540678050
Edition: 2nd
Pub Date: 2001
Publisher: Springer
This book offers an advanced introduction to the models of credit risk valuation. It concentrates on firm-value and reduced-form 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 credit-risky 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.
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