Credit risk
Modelling credit risk accurately is central to the practice of mathematical finance. This volume of the Mastering Mathematical Finance series offers a comprehensive and accessible introduction to the subject tailored specially for master's students. The book focuses on the two mainstream modell...
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| Format: | UnknownFormat |
| Sprache: | eng |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2017
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| Schriftenreihe: | Mastering mathematical finance
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| Online Zugang: | Inhaltsverzeichnis Inhaltstext |
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Tag hinzufügen | Zusammenfassung: | Modelling credit risk accurately is central to the practice of mathematical finance. This volume of the Mastering Mathematical Finance series offers a comprehensive and accessible introduction to the subject tailored specially for master's students. The book focuses on the two mainstream modelling approaches to credit risk, namely structural models and reduced form models, and on pricing selected credit risk derivatives. Balancing rigorous theory with real-world examples from the post-credit crisis financial markets, it takes readers through a natural development of mathematical ideas and financial intuition. Students, practitioners and researchers alike will benefit from the compact presentation and detailed worked examples, exercises and solutions |
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| Beschreibung: | vii, 194 Seiten Diagramme 23 cm |
| ISBN: | 1107002761 1-107-00276-1 9781107002760 978-1-107-00276-0 9780521175753 978-0-521-17575-3 |