Credit Risk: Modeling, Valuation and Hedging (Springer Finance) - Hardcover

Bielecki, Tomasz R.; Rutkowski, Marek

Hardcover

ISBN 10: 3540675930 ISBN 13: 9783540675938

Verlag: Springer, 2004

Inhaltsangabe

1

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From the reviews:

T.R. Bielecki and M. Rutkowski

Credit Risk

Modeling, Valuation and Hedging

"A fairly complete overview of the most important recent developments of credit risk modelling from the viewpoint of mathematical finance . . . It provides an excellent treatment of mathematical aspects of credit risk and will also be useful as a reference for technical details to traders and analysts dealing with credit-risky assets. It is a worthwhile addition to the literature and will serve as highly recommended reading for students and researchers in the subject area for some years to come."

―MATHEMATICAL REVIEWS

"The main purpose of this outstanding monograph is to present a comprehensive survey of the existing developments in the area of credit risk research, as well as to put forth the most recent advancements in this field. An important feature of this book is its attempt to bridge the gap between the mathematical theory of credit risk and the financial practice. ... The content of this book provides an indispensable guide to graduate students, researchers, and also to advanced practitioners in the fields ... ." (Neculai Curteanu, Zentralblatt MATH, Vol. 979, 2002)

Reseña del editor:

The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.

Über diese Auflage

• Verlag: Springer
• Erscheinungsdatum: 2004
• ISBN 10: 3540675930
• ISBN 13: 9783540675938
• Einband: Tapa dura
• Auflage: 2
• Anzahl der Seiten: 524