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Credit Risk: Modeling, Valuation and Hedging

  • Book
  • © 2004

Overview

Authors:
  1. Tomasz R. Bielecki

    1. Applied Mathematics Department, Illinois Institute of Technology, Chicago, USA

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    You can also search for this author in PubMed   Google Scholar

  2. Marek Rutkowski

    1. Faculty of Mathematics and Information Science, Politechnika Warszawska, Warszawa, Poland

    View author publications

    You can also search for this author in PubMed   Google Scholar

  • 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)

  1. Front Matter

    Pages I-XVIII
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  2. Structural Approach

    1. Front Matter

      Pages 1-1
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    2. Introduction to Credit Risk

      • Tomasz R. Bielecki, Marek Rutkowski
      Pages 3-30

    3. Corporate Debt

      • Tomasz R. Bielecki, Marek Rutkowski
      Pages 31-64

    4. First-Passage-Time Models

      • Tomasz R. Bielecki, Marek Rutkowski
      Pages 65-120

  3. Hazard Processes

    1. Front Matter

      Pages 121-121
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    2. Hazard Function of a Random Time

      • Tomasz R. Bielecki, Marek Rutkowski
      Pages 123-140

    3. Hazard Process of a Random Time

      • Tomasz R. Bielecki, Marek Rutkowski
      Pages 141-164

    4. Martingale Hazard Process

      • Tomasz R. Bielecki, Marek Rutkowski
      Pages 165-196

    5. Case of Several Random Times

      • Tomasz R. Bielecki, Marek Rutkowski
      Pages 197-218

  4. Reduced-Form Modeling

    1. Front Matter

      Pages 219-219
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    2. Intensity-Based Valuation of Defaultable Claims

      • Tomasz R. Bielecki, Marek Rutkowski
      Pages 221-264

    3. Conditionally Independent Defaults

      • Tomasz R. Bielecki, Marek Rutkowski
      Pages 265-292

    4. Dependent Defaults

      • Tomasz R. Bielecki, Marek Rutkowski
      Pages 293-312

    5. Markov Chains

      • Tomasz R. Bielecki, Marek Rutkowski
      Pages 313-350

    6. Markovian Models of Credit Migrations

      • Tomasz R. Bielecki, Marek Rutkowski
      Pages 351-384

    7. Heath-Jarrow-Morton Type Models

      • Tomasz R. Bielecki, Marek Rutkowski
      Pages 385-422

    8. Defaultable Market Rates

      • Tomasz R. Bielecki, Marek Rutkowski
      Pages 423-450

    9. Modeling of Market Rates

      • Tomasz R. Bielecki, Marek Rutkowski
      Pages 451-478

  5. Back Matter

    Pages 479-501
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Keywords

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 methodolo­ gies in helping professionals manage financial risks. It is expected that the newly developed credit derivatives industry will also benefit from the use of advanced mathematics. This 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 comprehending, modeling and hedging this kind of risk. Although in the first chapter we provide a brief overview of issues related to credit risk, our goal was to introduce the basic concepts and related no­ tation, rather than to describe the financial and economical aspects of this important sector of financial market. The interested reader may consult, for instance, Francis et al. (1999) or Nelken (1999) for a much more exhaustive description of the credit derivatives industry.

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

  • Applied Mathematics Department, Illinois Institute of Technology, Chicago, USA

    Tomasz R. Bielecki

  • Faculty of Mathematics and Information Science, Politechnika Warszawska, Warszawa, Poland

    Marek Rutkowski

About the authors

 

1

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

  • 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

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