Credit risk modeling : theory and applications /

Show other versions (1)

"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...

Full description

Bibliographic Details
Call Number:Libro Electrónico
Main Author: Lando, David, 1964-
Format: Electronic eBook
Language:Inglés
Published: Princeton, NJ : Princeton University Press, ©2004.
Series:Princeton series in finance.
Subjects:
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.
Online Access:Texto completo
Table of Contents:
  • 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.

Similar Items