Authors:
- 1st book on the market presenting a comprehensive approach to the quantative risk modelling
- provides a mathematical platform for all sorts of applications related to financial products whose value is partially or entirely derived from credit risk related events
- Includes supplementary material: sn.pub/extras
Part of the book series: Springer Finance (FINANCE)
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Table of contents (15 chapters)
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Front Matter
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Structural Approach
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Front Matter
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Hazard Processes
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Front Matter
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Back Matter
About this book
Reviews
From the reviews:
T.R. Bielecki and M. Rutkowski
Credit Risk
Modeling, Valuation and Hedging
"A fairly complete overview of the most important recent developments of credit risk modelling from the viewpoint of mathematical finance . . . It provides an excellent treatment of mathematical aspects of credit risk and will also be useful as a reference for technical details to traders and analysts dealing with credit-risky assets. It is a worthwhile addition to the literature and will serve as highly recommended reading for students and researchers in the subject area for some years to come."
—MATHEMATICAL REVIEWS
"The main purpose of this outstanding monograph is to present a comprehensive survey of the existing developments in the area of credit risk research, as well as to put forth the most recent advancements in this field. An important feature of this book is its attempt to bridge the gap between the mathematical theory of credit risk and the financial practice. ... The content of this book provides an indispensable guide to graduate students, researchers, and also to advanced practitioners in the fields ... ." (Neculai Curteanu, Zentralblatt MATH, Vol. 979, 2002)
Authors and Affiliations
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Applied Mathematics Department, Illinois Institute of Technology, Chicago, USA
Tomasz R. Bielecki
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Faculty of Mathematics and Information Science, Politechnika Warszawska, Warszawa, Poland
Marek Rutkowski
Bibliographic Information
Book Title: Credit Risk: Modeling, Valuation and Hedging
Authors: Tomasz R. Bielecki, Marek Rutkowski
Series Title: Springer Finance
DOI: https://doi.org/10.1007/978-3-662-04821-4
Publisher: Springer Berlin, Heidelberg
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eBook Packages: Springer Book Archive
Copyright Information: Springer-Verlag Berlin Heidelberg 2004
Hardcover ISBN: 978-3-540-67593-8Published: 20 November 2001
Softcover ISBN: 978-3-642-08707-3Published: 05 December 2010
eBook ISBN: 978-3-662-04821-4Published: 14 March 2013
Series ISSN: 1616-0533
Series E-ISSN: 2195-0687
Edition Number: 1
Number of Pages: XVIII, 501
Topics: Public Economics, Quantitative Finance, Probability Theory and Stochastic Processes