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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
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Credit Risk Pricing Models - now in its second edition - gives a deep insight into the latest basic and advanced credit risk modelling techniques covering not only the standard structural, reduced form and hybrid approaches but also showing how these methods can be applied to practice. The text covers a broad range of financial instruments, including all kinds of defaultable fixed and floating rate debt, credit derivatives and collateralised debt obligations.This volume will be a valuable source for the financial community involved in pricing credit linked financial instruments. In addition, the book can be used by students and academics for a comprehensive overview of the most important credit risk modelling issues.

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: Tertiary; University or College
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): 23.5 x 15.5  x 2.54
Weight (kg): 1.61
Edition Number: 2
Edition Type: Revised