Advanced credit risk analysis: financial approaches and mathematical models to assess, price, and manage credit risk
Advanced Credit Analysis presents the latest and most advanced modelling techniques in the theory and practice of credit risk pricing and management.
The book stresses the logic of theoretical models from the structural and the reduced-form kind, their applications and extensions. It shows the mathematical models that help determine optimal collateralisation and marking-to-market policies. It looks at modern credit risk management tools and the current structuring techniques available with credit derivatives.
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Introduction to modern credit risk pricing
the intuition behind structural models
Subsequent financial engineering
19 other sections not shown
amount analysis approach assets value assumed assumption authorization from Pirotte bank bankruptcy behavior bond price capital structure collateral computed Contingent Claims corporate bond correlation cost counterparty coupon credit default swap credit derivatives credit risk pricing credit spread CreditMetrics Crouhy debtholders default probability default risk default-free discount discount bond Duffee Duffie and Singleton empirical equation equity estimated exogenous expected exposure face value firm forward contract framework function impact issue Ito's lemma Jarrow Journal of Finance Longstaff and Schwartz market risks marking-to-market martingale matrix maturity Merton methodology obtain optimal option pricing parameters payment payoff portfolio present probability of default problem put option rating class ratio recovery rate Reproduced with authorization risk-neutral probability riskfree riskless risky debt Schwartz 1995b standard stochastic interest rates structural models Structure of Credit structure of interest term structure traded underlying valuation variables volatility yield spread zero-coupon bond