Credit Risk Pricing Models

Theory and Practice

Autori

• Bernd Schmid

Parametri

• 396 pagine
• 14 ore di lettura

• Economia e affari
• Matematica

Maggiori informazioni sul libro

This comprehensive edition expands on the author's previous work, offering an in-depth exploration of credit risk models and their applications. It covers essential topics such as credit risk factors, default probability, recovery rate modeling, and correlation issues. The text addresses a variety of financial instruments, including defaultable bonds, swaps, and multi-counterparty derivatives like index and basket default swaps. The author expresses gratitude for the support received during the project and acknowledges the valuable feedback from readers of the first edition.

Lingua: Inglese

Pubblicato: 2011

(In brossura)