Credit risk : modeling, valuation and hedging
 Responsibility
 Tomasz R. Bielecki, Marek Rutkowski.
 Language
 English.
 Edition
 Corrected 2nd printing.
 Imprint
 Berlin ; New York : Springer, c2004.
 Physical description
 xviii, 501 p. ; 25 cm.
 Series
 Springer finance.
Access
Creators/Contributors
 Author/Creator
 Bielecki, Tomasz R., 1955
 Contributor
 Rutkowski, Marek, 1952
Contents/Summary
 Bibliography
 Includes bibliographical references ([477]494) and index.
 Contents

 The main objective of Credit Risk: Modeling, Valuation and Hedging is to present a comprehensive survey of the past developments in the area of credit risk research, as well as to put forth the most recent advancements in this field. An important aspect of this text is that it attempts to bridge the gap between the mathematical theory of credit risk and the financial practice, which serves as the motivation for the mathematical modeling studied in the book. Mathematical developments are presented in a thorough manner and cover the structural (valueofthefirm) and the reduced (intensitybased) approaches to credit risk modeling, applied both to single and to multiple defaults. In particular, the book offers a detailed study of various arbitragefree models of defaultable term structures with several rating grades. This volume will serve as a valuable reference for financial analysts and traders involved with credit derivatives. Some aspects of the book may also be useful for market practitioners engaged in managing creditrisk sensitive portfolios. Graduate students and researchers in areas such as finance theory, mathematical finance, financial engineering and probability theory will benefit from the book as well. On the technical side, readers are assumed to be familiar with graduate level probability theory, theory of stochastic processes, and elements of stochastic analysis and PDEs some aquaintance with arbitrage pricing theory is also expected. A systematic exposition of mathematical techniques underlying the intensitybased approach is however provided.
 (source: Nielsen Book Data)
 Publisher's Summary
 The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reducedform approaches to credit risk modeling. Included is a detailed study of various arbitragefree models of default term structures with several rating grades.
(source: Nielsen Book Data)
Subjects
 Subject
 Credit > Mathematical models.
 Risk management > Mathematical models.
 Matemática financeira.
 Crédito (modelos matemáticos)
 Administração de risco (modelos matemáticos)
 Hedging (finanças)
 Kreditgeschäft.
 Kreditrisiko.
 Modell.
 Risikomanagement.
 Administração de risco (modelos matemáticos)
 Crédito (modelos matemáticos)
 Hedging (finanças)
 Matemática financeira.
Bibliographic information
 Publication date
 2004
 Series
 Springer finance
 Note
 Originally published 2002.
 ISBN
 9783540675938 (hbk. : alk. paper)
 3540675930 (hbk. : alk. paper)