Credit Risk

ISBN-13: 9781107002760 / Angielski / Twarda / 2017 / 202 str.

Kr Marek Capiński (AGH University of Science and Technology;Tomasz Zastawniak (University of York)

Opis

This master's-level introduction to mainstream credit risk modelling balances rigorous theory with real-world, post-credit crisis examples.

Spis treści

Preface; 1. Structural models; 2. Hazard function model and no arbitrage; 3. Defaultable bond pricing with hazard function; 4. Security pricing with hazard function; 5. Hazard process model; 6. Security pricing with hazard process; Appendix; Selected literature; Index.