Credit Risk Valuation

€ 181,99
Sofort lieferbar
Februar 2002



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.


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.


EAN: 9783540678052
ISBN: 3540678050
Untertitel: Methods, Models, and Applications. 2nd ed. 2001. Corr. 2nd printing 2002. Book. Sprache: Englisch.
Verlag: Springer
Erscheinungsdatum: Februar 2002
Seitenanzahl: 268 Seiten
Format: gebunden
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