Springer Finance

Credit Risk: Modeling, Valuation and Hedging

Authors: Bielecki, Tomasz R., Rutkowski, Marek

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About this book

Mathematical finance and financial engineering have been rapidly expanding fields of science over the past three decades. The main reason behind this phenomenon has been the success of sophisticated quantitative methodologies in helping professionals to manage financial risks. The newly developed credit derivatives industry has grown around the need to handle credit risk, which is one of the fundamental factors of financial risk. In recent years, we have witnessed a tremendous acceleration in research efforts aimed at better apprehending, modeling and hedging of this kind of risk. One of the objectives has been to understand links between credit risk and other major sources of uncertainty, such as the market risk or the liquidity risk. The main objective of this monograph is to present a comprehensive survey ofthe past developments in the area of credit risk research, as well as put forth the most recent advancements in this field. An important aspect of this text is that it attempts to bridge the gap between the mathematical theory of credit risk and the financial practice, which serves as the motivation for the mathematical modeling studied in the book. Mahtematical developments are presented in a thorough manner and cover the structural (value-of-the-firm) and the reduced-form (intensity-based) approaches to credit risk modeling, applied both to single and to multiple defaults. In particular, the book offers a detailed study of various arbitrage-free models of defaultable term structures with several rating grades. This book will serve as a valuable reference for financial analysts and traders involved with credit derivatives. Some aspects of the book may also be useful for market practitioners with managing credit-risk sensitives portfolios. Graduate students and researchers in areas such as finance theory, mathematical finance, financial engineering and probability theory will benefit from the book as well. On the technical side, readers are assumed to be familiar with graduate level probability theory, theory of stochastic processes, and elements of stochastic analysis and PDEs; some acquaintance with arbitrage pricing theory is also

About the authors

 

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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)


Table of contents (15 chapters)

  • Introduction to Credit Risk

    Bielecki, Tomasz R. (et al.)

    Pages 3-30

  • Corporate Debt

    Bielecki, Tomasz R. (et al.)

    Pages 31-64

  • First-Passage-Time Models

    Bielecki, Tomasz R. (et al.)

    Pages 65-120

  • Hazard Function of a Random Time

    Bielecki, Tomasz R. (et al.)

    Pages 123-140

  • Hazard Process of a Random Time

    Bielecki, Tomasz R. (et al.)

    Pages 141-164

Buy this book

eBook $84.99
price for USA (gross)
  • ISBN 978-3-662-04821-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $109.00
price for USA
  • ISBN 978-3-540-67593-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $109.00
price for USA
  • ISBN 978-3-642-08707-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Credit Risk: Modeling, Valuation and Hedging
Authors
Series Title
Springer Finance
Copyright
2004
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-662-04821-4
DOI
10.1007/978-3-662-04821-4
Hardcover ISBN
978-3-540-67593-8
Softcover ISBN
978-3-642-08707-3
Series ISSN
1616-0533
Edition Number
1
Number of Pages
XVIII, 501
Topics