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Pricing credit linked financial instruments : theory and empirical evidence /

Bibliographic Details
Main Author: Schmid, Bernd, 1970-
Format: Book
Language:English
Published: Berlin ; New York : Springer, ©2002.
Series:Lecture notes in economics and mathematical systems ; 516.
Subjects:
Derivative securities > Prices > Mathematical models.
Bonds > Prices > Mathematical models.
Credit > Management.
Risk management.
Instruments dérivés (Finances) > Prix > Modèles mathématiques.
Crédit > Gestion.
Gestion du risque.
risk management.
Derivat > Wertpapier
Kreditrisiko
Mathematisches Modell
Messung
Wertpapierportefeuille
Effectenhandel.
Termijnhandel.
Risicoanalyse.
Kredietwaardigheid.
Economics, Mathematical.
Credit > Mathematical models.
Risk > Mathematical models.
Gestion de crédit.
Gestion des risques.
Obligation (Valeur mobilière)
Instrument financier.
Modèle mathématique.
Prix.
Risque de crédit.
Instrument dérivé (Finances)
Online Access:Table of contents
Cover
Table of Contents:
  • 1. Introduction
  • 2. Modelling Credit Risk
  • Definition and Elements of Credit Risk
  • Modelling Transition and Default Probabilities
  • Modelling Recovery Rates
  • 3. Pricing Credit Linked Financial Instruments
  • The Three-Factor Model
  • The Pricing of Defaultable Fixed and Floating Rate Debt
  • The Pricing of Credit Derivatives
  • A Discrete-Time Version of the Three-Factor Model
  • Fitting the Model to Market Data
  • Portfolio Optimization under Credit Risk
  • A.S & P's Definition of Default
  • B. Technical Proofs
  • C. Pricing of Credit Derivatives: Extensions.