Description
Credit Risk: Modeling, Valuation and Hedging, Softcover reprint of hardcover 1st ed. 2002
Springer Finance Series
Authors: Bielecki Tomasz R., Rutkowski Marek
Language: EnglishSubjects for Credit Risk: Modeling, Valuation and Hedging:
126.59 €
In Print (Delivery period: 15 days).
Add to cart the book of Bielecki Tomasz R., Rutkowski MarekPublication date: 12-2010
501 p. · 15.5x23.5 cm · Paperback
126.59 €
Subject to availability at the publisher.
Add to cart the book of Bielecki Tomasz R., Rutkowski MarekPublication date: 01-2004
501 p. · 15.5x23.5 cm · Hardback
Description
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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.
1st book on the market presenting a comprehensive approach to the quantative risk modelling
provides a mathematical platform for all sorts of applications related to financial products whose value is partially or entirely derived from credit risk related events
Includes supplementary material: sn.pub/extras