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Credit Risk Pricing Models : Theory and Practice - Berndt Schmid

Credit Risk Pricing Models

Theory and Practice

Hardcover Published: 21st January 2004
ISBN: 9783540404668
Number Of Pages: 383

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This new edition is a greatly extended and updated version of my earlier monograph "Pricing Credit Linked Financial Instruments" (Schmid 2002). Whereas the first edition concentrated on the re- search which I had done in the context of my PhD thesis, this second edition covers all important credit risk models and gives a general overview of the subject. I put a lot of effort in explaining credit risk factors and show the latest results in default probability and recovery rate modeling. There is a special emphasis on correlation issues as well. The broad range of financial instruments I consider covers not only defaultable bonds, defaultable swaps and single counterparty credit derivatives but is further extended by multi counterparty in- struments like index swaps, basket default swaps and collateralized debt obligations. I am grateful to Springer-Verlag for the great support in the realiza- tion of this project and want to thank the readers of the first edition for their overwhelming feedback. Last but not least I want to thank Uli Goser for ongoing patience, en- couragement, and support, my family and especially my sister Wendy for being there at all times. BemdSchmid Stuttgart, November 2003 Cpntents 1. Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1. 1 Motivation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1. 2 Objectives, Structure, and S: ummary . . . . . . . . . . . . . . . . . . . . . . 5 2. Modeling Credit Risk Factors. . . . . . . . . . . . . . . . . . . . . . . 13 . . . . . . 2. 1 Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 2. 2 Definition and Elements of Credit Risk . . . . . . . . . . . . . . . . 13 . . . . 2. 3 Modeling Transition and Default Probabilities. . . . . . . . . . . . . 14 . 2. 3. 1 The Historical Method . . . . . . . . . . . . . . . . . . . . . . 15 . . . . . .

Introduction
Modelling Credit Risk Factors
Pricing Corporate and Sovereign Bonds
Correlated Defaults
Pricing Credit Derivatives
Collateralized Debt Obligations
Case Study: A Three-Factor Model for Pricing Credit Linked Financial Instruments
Some Definitions of S&P; Technicalnbsp;Proofs; Pricing of Credit Derivatives: Extensions
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9783540404668
ISBN-10: 354040466X
Series: Springer Finance
Audience: General
Format: Hardcover
Language: English
Number Of Pages: 383
Published: 21st January 2004
Publisher: Springer-Verlag Berlin and Heidelberg Gmbh & Co. Kg
Country of Publication: DE
Dimensions (cm): 23.93 x 16.46  x 2.79
Weight (kg): 0.71
Edition Number: 2
Edition Type: Revised

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