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Pricing Derivative Credit Risk

  • Book
  • © 1999

Overview

Authors:
  1. Manuel Ammann

    1. Swiss Institute of Banking and Finance, University of St. Gallen, St. Gallen, Switzerland

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  • First book on credit risk valuation

Part of the book series: Lecture Notes in Economics and Mathematical Systems (LNE, volume 470)

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Table of contents (7 chapters)

  1. Front Matter

    Pages I-XII
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  2. Introduction

    • Manuel Ammann
    Pages 1-11

  3. Contingent Claim Valuation

    • Manuel Ammann
    Pages 13-45

  4. Review of Credit Risk Models

    • Manuel Ammann
    Pages 47-74

  5. A Firm Value Pricing Model for Derivatives with Counterparty Default Risk

    • Manuel Ammann
    Pages 75-112

  6. A Hybrid Pricing Model for Contingent Claims with Credit Risk

    • Manuel Ammann
    Pages 113-146

  7. A Compound Pricing Approach for Credit Derivatives

    • Manuel Ammann
    Pages 147-164

  8. Conclusion

    • Manuel Ammann
    Pages 165-168

  9. Back Matter

    Pages 169-232
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Keywords

About this book

Credit risk is an important consideration in most financial transactions. As for any other risk, the risk taker requires compensation for the undiversifiable part of the risk taken. In bond markets, for example, riskier issues generally promise investors a higher yield. The same principle also applies to financial derivatives. Otherwise identical derivative securities will likely have differ­ ent prices if the counterparties are not of the same credit quality. Although this argument seems intuitively convincing, widely used pricing models for financial derivatives do not incorporate credit risk effects. This research monograph analyzes the effect of credit risk on financial derivatives prices. Credit risk can affect derivatives prices in a variety of ways. First, financial derivatives can be subject to counterparty default risk. Second, a derivative can be written on a security which is subject to credit risk, such as a corporate bond. Third, the credit risk itself can be the un­ derlying of a derivative instrument. The text focuses on valuation models which take into account counterparty risk but also addresses the other two valuation problems.

Authors and Affiliations

  • Swiss Institute of Banking and Finance, University of St. Gallen, St. Gallen, Switzerland

    Manuel Ammann

Bibliographic Information

  • Book Title: Pricing Derivative Credit Risk

  • Authors: Manuel Ammann

  • Series Title: Lecture Notes in Economics and Mathematical Systems

  • DOI: https://doi.org/10.1007/978-3-662-22330-7

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag Berlin Heidelberg 1999

  • eBook ISBN: 978-3-662-22330-7Published: 29 June 2013

  • Series ISSN: 0075-8442

  • Series E-ISSN: 2196-9957

  • Edition Number: 1

  • Number of Pages: XII, 232

  • Number of Illustrations: 13 b/w illustrations

  • Topics: Finance, general, Quantitative Finance

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