Advanced credit risk analysis : financial approaches and mathematical models to assess, price, and manage credit risk
- Didier Cossin and Hugues Pirotte.
- New York : John Wiley & Sons, c2001.
- Physical description
- xiii, 357 p. : ill. ; 25 cm.
- Wiley series in financial engineering.
At the library
Science Library (Li and Ma)
|HG3751 .C67 2001||Unknown|
- Includes bibliographical references (p. -348) and index.
- Acknowledgements. Introduction. CREDIT RISK PRICING. Introduction to Modern Credit Risk Pricing. Merton's Approach: The Intuition Behind Structural Models. Subsequent Financial Engineering. Stochastic Interest Rates and Credit Risk. Advanced Considerations on Bankruptcy Endogeneity. Reduced-Form/Mixed Approaches. CREDIT RISK OF DERIVATIVES. Swap Credit Risk Pricing. Credit Risk in Options: Vulnerable Options. THEORETICAL WRAP-UP AND EMPIRICAL EVIDENCE. Introduction. Literature Wrap-Up. Empirical Evidence. A PROPOSITION FOR A STRUCTURAL MODEL. Introduction. The Pricing Model. Comparative Statics. The Practical Implementation and Final Issues. COLLATERALIZATION, MARKING-TO-MARKET, AND THEIR IMPACT ON CREDIT RISK. Introduction. A Structural Methodology for Haircut Determination and the Pricing of Credit Risk with Risky Collateral. Credit Risk Collateral Control as an Impulse Control Problem. MANAGEMENT OF CREDIT RISK. Advanced Management Tools. Financial Structuring with Credit Derivatives. Appendix A: It's Lemma. Appendix B: A Review of Interest Rate Models. General Bibliography. Index.
- (source: Nielsen Book Data)
Advanced Credit Analysis presents the latest and most advanced modelling techniques in the theory and practice of credit risk pricing and management. The book stresses the logic of theoretical models from the structural and the reduced-form kind, their applications and extensions. It shows the mathematical models that help determine optimal collateralisation and marking-to-market policies. It looks at modern credit risk management tools and the current structuring techniques available with credit derivatives.
(source: Nielsen Book Data)
- Supplemental links
Contributor biographical information
Table of Contents
- Publication date
- Wiley series in financial engineering
- 0471987239 (cased)
- 9780471987239 (cased)
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