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Credit risk pricing models: theory and practice

By: Material type: TextTextSeries: Spinger FinancePublication details: Berlin Springer 2004Edition: 2nd edDescription: xi, 383 p. With 101 Figures and 65 TablesISBN:
  • 9783540404668
Subject(s): DDC 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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Item type Current library Item location Shelving location Call number Status Date due Barcode
Books Vikram Sarabhai Library Rack 19-A / Slot 707 (0 Floor, West Wing) General Stacks 332.63 S2C7/2004 (Browse shelf(Opens below)) Available 158770

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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