Service-Telefon
+49(0)6151-988520
German English
Fachgebiete

 Anzeige Werbeflaeche

Details

1732352 Cossin, Didier; Pirotte, Hugues:
Advanced Credit Risk Analysis
Financial Approaches and Mathematical Models to Assess, Price and Manage Credit Risk
Preis:   € 119,00

Reihe: Wiley Series in Financial Engineering, Einband: Gb
Auflage: 1. Auflage
Verlag: John Wiley & Sons Chichester
Erscheinungsdatum: 11/2000
Seiten: 372 S.

ISBN-10: 0-471-98723-9   
ISBN-13: 978-0-471-98723-9


In den Warenkorb

Weitere Fachbücher aus dem Fachgebiet:
Finanz- u. Anlagewesen | Finanztechnik | Private Finanzplanung | 
zurück
Beschreibung
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.
Inhalt
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: Itô's Lemma.
Appendix B: A Review of Interest Rate Models.
General Bibliography.
Index.
 © academic-books.com, Alle Rechte vorbehalten.