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This book offers an advanced introduction to models of credit risk valuation, concentrating on firm-value and reduced-form approaches and their application. Also included are new models for valuing derivative securities with credit risk. The book provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multivariate trees used to price derivative credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives.
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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.
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- PublisherSpringer
- Publication date2001
- ISBN 10 3540678050
- ISBN 13 9783540678052
- BindingHardcover
- Edition number2
- Number of pages265
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Credit Risk Valuation : Methods; Models; and Applications
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Springer
(2001)
ISBN 10: 3540678050
ISBN 13: 9783540678052
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