Credit Risk Modeling
Language: English
Published by LAP LAMBERT Academic Publishing Jul 2010, 2010
- Softcover
- New
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.
AbeBooks seller since January 11, 2012
Condition: New
£ 58.43
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Add to basketItem description from seller
This item is printed on demand - it takes 3-4 days longer - Neuware -This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single firm credit risk, modeling portfolio credit risk and credit risk pricing. First we analyze these questions under the assumptions that firm value follows a geometric Brownian motion and the interest rates are constant. We discuss the weaknesses of the geometric Brownian motion assumption in explaining empirical properties of real data. Then we propose a new extended model in which asset value, volatility and interest rates follow affine jump diffusion processes. In our extended model volatility is stochastic, asset value and volatility has correlated jumps and interest rates are stochastic and have jumps. Finally, we analyze the modeling of single firm credit risk and credit risk pricing by using our extended model and show how our model can be used as a solution for the problems we encounter with simple models. 164 pp. Englisch.…
Seller Inventory # 9783838381312
- Title
- Credit Risk Modeling
- Author
- Ayhan Yuksel
- Publisher
- LAP LAMBERT Academic Publishing Jul 2010
- Publication year
- 2010
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- English
- ISBN 10
- 3838381319
- ISBN 13
- 9783838381312
- Item weight
- 262 grams
- Dimensions
- 220x150x10 mm
"Synopsis" may belong to another edition of this title.
About the Author
"About the title" may belong to another edition of this title.
BuchWeltWeit Ludwig Meier e.K.
Bergisch Gladbach, Germany
AbeBooks seller since January 11, 2012
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