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Credit risk : modeling, valuation and hedging /

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Studies the motivation for the mathematical modeling. This title deals with developments in credit risk research. It covers mathematical developments and gives the structural and reduced-form approaches to credit risk modeling. It includes a study of various arbitrage-free models of default term str...

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Bibliographic Details
Main Author: Bielecki, Tomasz R., 1955- (Author)
Other Authors: Rutkowski, Marek, 1952-
Format: Book
Language:English
Published: Berlin ; New York : Springer, [2002]
Series:Springer finance.
Subjects:
Credit > Mathematical models.
Risk management > Mathematical models.
Crédit > Modèles mathématiques.
Gestion du risque > Modèles mathématiques.
Kreditgeschäft
Kreditrisiko
Mathematisches Modell
Modell
Risikomanagement
Krediet.
Risicoanalyse.
Wiskundige modellen.
Gestion du risque > Mathématiques.
Couverture (finances)
Mathématiques financières.
Crédit > Gestion.
Kredittvurdering > Matematiske modeller.
Online Access:Table of contents
Table of contents
Contributor biographical information
Publisher description
Cover
Kapitel 1
http://digitool.hbz-nrw.de:1801/webclient/DeliveryManager?pid=1464666&custom_att_2=simple_viewer
Description
Summary:Studies the motivation for the mathematical modeling. This title deals with developments in credit risk research. It covers mathematical developments and gives the structural and reduced-form approaches to credit risk modeling. It includes a study of various arbitrage-free models of default term structures with several rating grades.
Physical Description:xviii, 500 pages ; 25 cm
Bibliography:Includes bibliographical references ([477]-494) and index.
ISBN:3540675930
9783540675938