Credit Risk Modeling : Theory and Applications /

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Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers a...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Lando, David (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Princeton, NJ : Princeton University Press, [2009]
Colección:Princeton Series in Finance
Temas:
BUSINESS & ECONOMICS / Economics / Theory.
Adapted process.
Arbitrage.
Asset Sales.
Asset.
Bankruptcy.
Barrier option.
Basis Point.
Binomial approximation.
Binomial distribution.
Bond (finance).
Bond Yield.
Bond valuation.
Calculation.
Call option.
Capital structure.
Comparative advantage.
Convenience yield.
Coupon (bond).
Coupon.
Credit (finance).
Credit default swap.
Credit derivative.
Credit rating.
Credit risk.
Credit spread (options).
Cumulative Dividend.
Current liability.
Debt Issue.
Debt.
Discount function.
Discrete time and continuous time.
Dividend payout ratio.
Dividend.
Equity value.
Equivalent Martingale Measures.
Estimation.
Estimator.
Exponential distribution.
Fair value.
Geometric Brownian motion.
Government bond.
High-yield debt.
Implicit cost.
Implied volatility.
Information asymmetry.
Interest rate swap.
Interest rate.
Issuer.
Jump process.
Latent variable.
Least squares.
Leverage (finance).
Liability (financial accounting).
Libor.
Logistic regression.
Market liquidity.
Market value.
Markov chain.
Markov model.
Mathematical finance.
Merton Model.
Moment-generating function.
Money market.
Option (finance).
Par Yield Curve.
Path dependence.
Payment.
Plain vanilla.
Predictable process.
Present value.
Pricing.
Probability of default.
Probability.
Put option.
Random variable.
Recapitalization.
Repurchase agreement.
Risk management.
Risk premium.
Risk-neutral measure.
Semimartingale.
Short rate.
State variable.
Swap (finance).
Swap Curve.
Swap rate.
Swap spread.
Synthetic CDO.
Tax advantage.
Tax shield.
Tax.
Trading strategy.
Tranche.
Underlying Security.
Value (economics).
Variance.
Vasicek model.
Yield curve.
Yield spread.
Zero-coupon bond.
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