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Více informací o knize Credit Risk: Modeling, Valuation and Hedging

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• Anotace
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Anotace knihy

The main objective of Credit Risk: Modeling, Valuation and Hedging is to present a comprehensive survey of the past developments in the area of credit risk research, as well as to put forth the most recent advancements in this field. An important aspect of this text is that it attempts to bridge the gap between the mathematical theory of credit risk and the financial practice, which serves as the motivation for the mathematical modeling studied in the book. Mathematical developments are presented in a thorough manner and cover the structural (value-of-the-firm) and the reduced (intensity-based) approaches to credit risk modeling, applied both to single and to multiple defaults. In particular, the book offers a detailed study of various arbitrage-free models of defaultable term structures with several rating grades.

Parametry knihy

Zařazení knihy Knihy v angličtině Mathematics & science Mathematics Applied mathematics

• Plný název: Credit Risk: Modeling, Valuation and Hedging
• Autor: Tomasz R. Bielecki, Marek Rutkowski
• Jazyk: Angličtina
• Vazba: Pevná
• Počet stran: 501
• EAN: 9783540675938
• ISBN: 3540675930
• ID: 01567425
• Nakladatelství: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
• Hmotnost: 904 g
• Rozměry: 241 × 165 × 35 mm
• Datum vydání: 20. November 2001

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