TY  - BOOK
AU  - Schmid, Bernd
TI  - Credit risk pricing models: theory and practice
SN  - 9783540404668
U1  - 332.63 
PY  - 2004///
CY  - Berlin
PB  - Springer
KW  - Derivative securities - Prices - Mathematical models
KW  - Bonds - Prices - Mathematical models
KW  - Credit - Management
KW  - Risk management
N2  - 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
ER  -