Credit risk

Credit risk

by Capiński, Marek

Type Book
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Modelling credit risk accurately is central to the practice of mathematical finance. The majority of available texts are aimed at an advanced level, and are more suitable for PhD students and researchers. This volume of the Mastering Mathematical Finance series addresses the need for a course intended for master's students, final-year undergraduates, and practitioners. The book focuses on the two mainstream modelling approaches to credit risk, namely structural models and reduced-form models, a…

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Title Statements

  • Full title :Credit risk / Marek Capiński, Tomasz Zastawniak.

Summary

Modelling credit risk accurately is central to the practice of mathematical finance. The majority of available texts are aimed at an advanced level, and are more suitable for PhD students and researchers. This volume of the Mastering Mathematical Finance series addresses the need for a course intended for master's students, final-year undergraduates, and practitioners. The book focuses on the two mainstream modelling approaches to credit risk, namely structural models and reduced-form models, and onpricing selected credit risk derivatives. Balancing rigorous theory with examples, it takes readers through a natural development of mathematical ideas and financial intuition.

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Edition Statements

  • Publication Date:2017

Publication Statements

Notes

Title from publisher's bibliographic system (viewed on 31 Jan 2017).

The Physical Object

  • Description:1 online resource (vii, 194 Seiten)

Edition Identifiers

  • ISBN:9781139047432, 1139047434, 9781107002760, 1107002761
  • DOI:10.1017/9781139047432
  • oclc:ocn973562308
  • LC Classification:HG3751
  • Dewey Decimal:658.8/80151

Subjects

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

Writers

Capiński, Marek Zastawniak, Tomasz

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