Credit risk

by Capiński, Marek

Type Book

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Title Statements

Full title :Credit risk / Marek Capinski, AGH University of Science and Technology, Kraków, Tomasz Zastawniak, University of York.

Summary

Modelling credit risk accurately is central to the practice of mathematical finance. This volume of the Mastering Mathematical Finance series offers a comprehensive and accessible introduction to the subject tailored specially for master's students. The book focuses on the two mainstream modelling approaches to credit risk, namely structural models and reduced form models, and on pricing selected credit risk derivatives. Balancing rigorous theory with real-world examples from the post-credit crisis financial markets, it takes readers through a natural development of mathematical ideas and financial intuition. Students, practitioners and researchers alike will benefit from the compact presentation and detailed worked examples, exercises and solutions.

Edition Statements

Publication Date:2017.

Publication Statements

Publisher(s):Cambridge University Press
Place of Publication:Cambridge, United Kingdom
Language:eng
Publication Date:2017.

The Physical Object

Description:vii, 194 pages ; : 23 cm.

Edition Identifiers

ISBN:9781107002760, 1107002761, 9780521175753, 0521175755
oclc:ocn968312060
LC Classification:HG3751
Dewey Decimal:658.8/80151

Structural models -- Hazard function model and no arbitrage -- Defaultable bond pricing with hazard function -- Security pricing with hazard function -- Hazard process model -- Security pricing with hazard process -- Appendix. Lebesgue-Stieltjes integral ; Passage time and minimum of Wiener process ; Stochastic calculus with martingales.

Subjects

Business mathematics Crédit -- Gestion Credit / Management Évaluation du risque -- Modèles mathéma… Mathématiques financières Risk assessment -- Mathematical models