Credit risk: modeling, valuation, and hedging

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Credit risk: modeling, valuation, and...

Credit risk: modeling, valuation, and hedging

Name: Credit risk: modeling, valuation, and hedging
ISBN: 9783540675938

Tomasz R. Bielecki, Marek Rutkowski

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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 reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.

درجه (قاطیغوری(:

Mathematics

کال:

2004

خپرندویه اداره:

Springer

ژبه:

english

صفحه:

540

ISBN 10:

3540675930