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Credit Risk Pricing Models : Theory and Practice /

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The markets dealing with financial products related to credit risk have been booming over the last years. This has encouraged practitioners and academics at the same time to consider and develop sophisticated models for credit risk pricing. This book gives a deep insight into the latest basic and ad...

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Bibliographic Details
Main Author: Schmid, Bernd
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2004.
Edition:Second edition.
Series:Springer finance.
Subjects:
Economics.
Finance.
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • Introduction
  • Modelling Credit Risk Factors
  • Pricing Corporate and Sovereign Bonds
  • Correlated Defaults
  • Pricing Credit Derivatives
  • Collateralized Debt Obligations
  • Case Study: A Three-Factor Model for Pricing Credit Linked Financial Instruments
  • Some Definitions of S & P; Technical Proofs; Pricing of Credit Derivatives: Extensions.