000 01849nam a2200253Ia 4500
008 140323b2004 xxu||||| |||| 00| 0 eng d
020 _a9783540404668
082 _a332.63
100 _aSchmid, Bernd
_965168
245 _aCredit risk pricing models: theory and practice
250 _a2nd ed.
260 _aBerlin
_bSpringer
_c2004
300 _axi, 383 p.
_bWith 101 Figures and 65 Tables
365 _bEURO 69.95
440 _aSpinger Finance
_965169
520 _aThis 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.
650 _aDerivative securities - Prices - Mathematical models
_941717
650 _aBonds - Prices - Mathematical models
_965170
650 _aCredit - Management
_934619
650 _aRisk management
_910369
942 _cBK
952 _w2009-09-04
_A00069.95
_BEUR
_C2005-09-27
_DSita Books
_E00250192
_F2005-08-10
_G273
_H2005-09-09
_IF
_J003959.17
_K10.00%
_L00000.00
_MProf. J R Varma
_N29-03-2005
_p158770
_r2009-09-04
_40
_00
_bVSL
_10
_o332.63 S2C7/2004
_d2009-05-04
_70
_2ddc
_yBK
_aVSL
999 _c49847
_d49847