Credit risk
By: Capinski, Marek
Contributor(s): Zastawniak, Tomasz [Co-author]
Material type: 
TextSeries: Mastering mathematical financePublisher: New York Cambridge University Press 2017Description: vii, 194 p.ISBN: 9780521175753Subject(s): Risk assessment - Mathematical models | Business mathematics | Credit management - Mathematical models | Risk managementDDC classification: 658.880151 Summary: Modelling credit risk accurately is central to the practice of mathematical finance. The majority of available texts are aimed at an advanced level, and are more suitable for PhD students and researchers. This volume of the Mastering Mathematical Finance series addresses the need for a course intended for master's students, final-year undergraduates, and practitioners. The book focuses on the two mainstream modelling approaches to credit risk, namely structural models and reduced-form models, and on pricing selected credit risk derivatives. Balancing rigorous theory with examples, it takes readers through a natural development of mathematical ideas and financial intuition.
http://www.cambridge.org/catalogue/catalogue.asp?isbn=9780521175753
| Item type | Current location | Item location | Collection | Call number | Status | Date due | Barcode |
|---|---|---|---|---|---|---|---|
| Books | Vikram Sarabhai Library General Stacks | Slot 2204 (2 Floor, East Wing) | Non-fiction | 658.880151 C2C7 (Browse shelf) | Available | 194548 |
Modelling credit risk accurately is central to the practice of mathematical finance. The majority of available texts are aimed at an advanced level, and are more suitable for PhD students and researchers. This volume of the Mastering Mathematical Finance series addresses the need for a course intended for master's students, final-year undergraduates, and practitioners. The book focuses on the two mainstream modelling approaches to credit risk, namely structural models and reduced-form models, and on pricing selected credit risk derivatives. Balancing rigorous theory with examples, it takes readers through a natural development of mathematical ideas and financial intuition.
http://www.cambridge.org/catalogue/catalogue.asp?isbn=9780521175753
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