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  3. Credit Risk
  • Cited by 1
Publisher:
Cambridge University Press
Online publication date:
January 2017
Print publication year:
2016
Online ISBN:
9781139047432
DOI:
https://doi.org/10.1017/9781139047432
Subjects:
Economics, Mathematics, Mathematical Finance, Finance and Accountancy
Series:
Mastering Mathematical Finance
Information

Book description

Modelling credit risk accurately is central to the practice of mathematical finance. The majority of available texts are aimed at an advanced level, and are more suitable for PhD students and researchers. This volume of the Mastering Mathematical Finance series addresses the need for a course intended for master's students, final-year undergraduates, and practitioners. The book focuses on the two mainstream modelling approaches to credit risk, namely structural models and reduced-form models, and onpricing selected credit risk derivatives. Balancing rigorous theory with examples, it takes readers through a natural development of mathematical ideas and financial intuition.

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Contents

Contents
References
Select bibliography
T. R., Bielecki and M., Rutkowski, Credit Risk: Modelling, Valuation and Hedging. Springer-Verlag, 2002.
T. R., Bielecki, M., Jeanblanc, and M., Rutkowski, Credit Risk Modeling. Osaka University CSFI Lecture Notes Series 2. Osaka University Press, 2009.
T. R., Bielecki, M., Jeanblanc, and M., Rutkowski, Hedging of Credit Derivatives in models with totally unexpected default, in J., Akahori et al. (eds.), Stochastic Processes and Applications to Mathematical Finance. Proceedings of the 5th Ritsumeikan International Symposium. World Scientific Publishing, 2006, pp. 35–100.
C., Blanchet-Scalliet and M., Jeanblanc, Hazard rate for credit risk and hedging defaultable contingent claims, Finance and Stochastics, 8 (2004), pp. 145–159.
C., Bluhm, L., Overbeck, and C., Wagner, Introduction to Credit Risk Modeling, 2nd edn. Chapman & Hall/CRC Financial Mathematics Series. CRC Press, 2010.
D., Cossin and H., Pirotte, Advanced Credit Risk Analysis. John Wiley & Sons Ltd, 2001.
G., Löffler and P. N., Posch, Credit Risk Modeling Using Excel and VBA. John Wiley & Sons Ltd, 2007.
A., Saunders and L., Allen, Credit Risk Measurement, 3rd edn. John Wiley & Sons Ltd, 2010.
P., Schönbucher, Credit Derivatives Pricing Models: Models Pricing and Implementation. John Wiley & Sons Ltd, 2003.

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