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 researc...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Lando, David, 1964-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Princeton, NJ : Princeton University Press, ©2004.
Colección:Princeton series in finance.
Temas:
Credit > Management.
Risk management.
Financial institutions > Management.
Risk Management
Crédit > Gestion.
Gestion du risque.
Institutions financières > Gestion.
risk management.
BUSINESS & ECONOMICS > Finance.
BUSINESS & ECONOMICS / Economics / Theory
Kreditrisiko
Wiskundige modellen.
Stochastische processen.
Kredietwaardigheid.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Corporate liabilities as contingent claims
  • Endogenous default boundaries and optimal capital structure
  • Statistical techniques for analyzing defaults
  • Intensity modeling
  • Rating-based term-structure models
  • Credit risk and interest-rate swaps
  • Credit default swaps, CDOs, and related products
  • Modeling dependent defaults.

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