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Credit risk pricing models: theory and practice

By: Schmid, Bernd.
Material type: materialTypeLabelBookSeries: Spinger Finance. Publisher: Berlin Springer 2004Edition: 2nd ed.Description: xi, 383 p. With 101 Figures and 65 Tables.ISBN: 9783540404668.Subject(s): Derivative securities - Prices - Mathematical models | Bonds - Prices - Mathematical models | Credit - Management | Risk managementDDC classification: 332.63 Summary: This book gives a deep insight into the latest basic and advanced credit risk modelling techniques covering not only the standard structural, reduced form and hybrid approaches but also showing how these methods can be applied to practice. Therefore, questions like the choice of an appropriate model, suitable parameter estimation and calibration techniques as well as back-testing issues are addressed. The book covers a broad range of financial instruments such as all kinds of defaultable fixed and floating rate debt, credit derivatives and collateralised debt obligations. In addition, there is a special emphasis on the discussion of data issues like the estimation of consistent transition matrices or the modelling of recovery rates. A lot of market data and latest credit market information completes the book.
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This book gives a deep insight into the latest basic and advanced credit risk modelling techniques covering not only the standard structural, reduced form and hybrid approaches but also showing how these methods can be applied to practice. Therefore, questions like the choice of an appropriate model, suitable parameter estimation and calibration techniques as well as back-testing issues are addressed. The book covers a broad range of financial instruments such as all kinds of defaultable fixed and floating rate debt, credit derivatives and collateralised debt obligations. In addition, there is a special emphasis on the discussion of data issues like the estimation of consistent transition matrices or the modelling of recovery rates. A lot of market data and latest credit market information completes the book.

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