Credit Risk Valuation: Methods, Models, and Applications
Author:   Manuel Ammann
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Edition:   2nd ed. 2001
ISBN:  

9783540678052


Pages:   255
Publication Date:   22 June 2001
Format:   Hardback
Availability:   In Print   Availability explained
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Credit Risk Valuation: Methods, Models, and Applications


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Overview

This book offers an advanced introduction to the models of credit risk valuation. It concentrates on firm-value and reduced-form approaches and their applications in practice. Additionally, the book includes new models for valuing derivative securities with credit risk, focussing on options and forward contracts subject to counterparty default risk, but also treating options on credit-risky bonds and credit derivatives. The text provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multi-variate trees used to price derivative credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives.

Full Product Details

Author:   Manuel Ammann
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint:   Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition:   2nd ed. 2001
Dimensions:   Width: 15.60cm , Height: 1.50cm , Length: 23.40cm
Weight:   1.220kg
ISBN:  

9783540678052


ISBN 10:   3540678050
Pages:   255
Publication Date:   22 June 2001
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

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