Credit Risk: Modeling, Valuation and Hedging (Paperback, Softcover reprint of hardcover 1st ed. 2002)
Tomasz R. Bielecki, Marek RutkowskiThe motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.
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Product Description
The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.
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Product Details
General
Imprint | Springer-Verlag |
Country of origin | Germany |
Series | Springer Finance |
Release date | December 2010 |
Availability | Expected to ship within 10 - 15 working days |
First published | 2002 |
Authors | Tomasz R. Bielecki, Marek Rutkowski |
Dimensions | 235 x 155 x 28mm (L x W x T) |
Format | Paperback |
Pages | 501 |
Edition | Softcover reprint of hardcover 1st ed. 2002 |
ISBN-13 | 978-3-642-08707-3 |
Barcode | 9783642087073 |
Categories | |
LSN | 3-642-08707-8 |
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