Credit Risk
Models, Derivatives, and Management
Published on 28. May 2008
600 pages
978-1-040-17128-8 (ISBN)
Description
Featuring contributions from leading international academics and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results.
Divided into six sectio
Divided into six sectio
Reviews / Votes
"Credit Risk: Models, Derivatives, and Management is the most comprehensive available volume of authoritative readings on credit risk modeling. Niklas Wagner has given us a package of 26 chapters by well-recognized authors, treating all major aspects of the subject, from the behavior of default probabilities, recovery, and correlation to the pricing of a wide range of single-name and multi-name credit products. Every practitioner covering the topic will appreciate access to this collection."-Darrell Duffie, Dean Witter Distinguished Professor of Finance, The Graduate School of Business, Stanford University, California, USA
"Well-recognized academics and industry experts offer their perspectives on current advances in credit risk modeling, pricing, and management . . . contains a nice mixture of theoretical and empirical contributions. In view of the current U.S. subprime mortgage loan crisis, CDO-based credit problems and several bankruptcies of financial institutions, this book is highly topical and offers valuable tools to both academics and practitioners alike."
- Giacomo Bonanno, in Zentralblatt Math, 2009
More details
Series
Language
English
Place of publication
London
United Kingdom
Publishing group
Taylor & Francis Ltd
Target group
Professional and scholarly
File size
9,73 MB
ISBN-13
978-1-040-17128-8 (9781040171288)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Book
05/2008
1st Edition
Chapman & Hall/CRC
€267.41
Shipment within 15-20 days
Content
Preface. A View on Credit Derivatives.Credit Risk, Spreads, and Spread Determinants.Credit Risk Modeling and Pricing.Default Risk, Recovery Risk, and Rating.Credit Risk Dependence and Dependent Defaults.Options, Portfolios, and Pricing Loss Distribution Tranches. Index.
