Pricing Credit Linked Financial Instruments: Theory and Empirical Evidence: Vol. 516 (Lecture Notes in Economics and Mathematical Systems) - Softcover

Schmid, Berndt

 
9783540431954: Pricing Credit Linked Financial Instruments: Theory and Empirical Evidence: Vol. 516 (Lecture Notes in Economics and Mathematical Systems)
Softcover
ISBN 10: 3540431950 ISBN 13: 9783540431954
Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. K, 2002

Synopsis

Credit risk is one of the oldest forms of risk in the financial markets, and still revolutionary changes and developments are taking place in the credit markets today. This work contributes to the efforts of academics and practitioners to explain credit markets, price default related financial instruments such as defaultable fixed and floating rate debt, credit derivatives, and other securities with embedded credit risk. The whole process, from the specification of the underlying stochastic processes to the estimation of the parameters and calibration to market data is shown. The models proposed are validated in a lot of in- and out-of-sample statistical tests. Typical applications such as bond portfolio optimization under the consideration of credit risk are discussed in depth.

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Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Publication date
2002
Language
English
ISBN 10 
3540431950
ISBN 13 
9783540431954
Binding
Paperback
Number of pages
256