Pricing Derivative Credit Risk (Lecture Notes in Economics and Mathematical Systems, 470, Band 470) - Softcover

Ammann, Manuel

Softcover

ISBN 10: 3540657533 ISBN 13: 9783540657538

Verlag: Springer, 1999

Inhaltsangabe

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 generally promise investors a higher yield. The same principle also applies to financial derivatives. Otherwise identical derivative securities will likely have differ­ ent prices if the counterparties are not of the same credit quality. Although this argument seems intuitively convincing, widely used pricing models for financial derivatives do not incorporate credit risk effects. This research monograph analyzes the effect of credit risk on financial derivatives prices. Credit risk can affect derivatives prices 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 un­ derlying of a derivative instrument. The text focuses on valuation models which take into account counterparty risk but also addresses the other two valuation problems.

Details zur Ausgabe

• Verlag: Springer
• Erscheinungsdatum: 1999
• Sprache: Englisch
• ISBN 10: 3540657533
• ISBN 13: 9783540657538
• Einband: Taschenbuch
• Auflage: 1
• Anzahl der Seiten: 244
• Kontakt zum Hersteller: Springer-Verlag GmbH; customerservice@springernature.com; ; Tiergartenstraße 17; Heidelberg; Baden-Württemberg; 69121; Deutschland