Credit risk

Autori

• Tomasz R. Bielecki

Parametri

• 519 pagine
• 19 ore di lettura

• Tecnologia e Ingegneria

Maggiori informazioni sul libro

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.

Lingua: Inglese

Pubblicato: 2002

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