Credit risk

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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 Capinski, Tomasz Zastawniak.

Summary

Edition Statements

Publication Date:2017.

Publication Statements

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

Notes

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

The Physical Object

Description:1 online resource (vii, 194 pages) : : PDF file(s).

Edition Identifiers

ISBN:9781139047432, 1139047434
oclc:on1058648960
LC Classification:HG3751
Dewey Decimal:658.8/80151

Cover -- Half-title -- Series information -- Title page -- Copyright information -- Table of contents -- Preface -- 1 Structural models -- 1.1 Traded assets -- 1.2 Merton model -- 1.3 Non-tradeable assets -- 1.4 Barrier model -- 2 Hazard function model and no arbitrage -- 2.1 Market model -- 2.2 Default time and hazard function -- 2.3 Default indicator process -- 2.4 No arbitrage and risk-neutral probability -- 3 Defaultable bond pricing with hazard function -- 3.1 Initial prices and calibration -- 3.2 Process of prices -- 3.3 Recovery schemes -- 3.4 Martingale properties -- 3.5 Martingale properties of integrals -- 3.6 Bond price dynamics -- 4 Security pricing with hazard function -- 4.1 Martingale representation theorem -- 4.2 Pricing defaultable securities -- 4.3 Credit Default Swap -- 5 Hazard process model -- 5.1 Market model and risk-neutral probability -- 5.2 Martingales with respect to the enlarged filtration -- 5.3 Hazard process -- 5.4 Canonical construction of default time -- 5.5 Conditional expectations -- 5.6 Martingale properties -- 6 Security pricing with hazard process -- 6.1 Bond price dynamics -- 6.2 Trading strategies -- 6.3 Zero-recovery securities -- 6.4 Marti…

Subjects

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