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Springer Finance

Credit Risk Valuation

Methods, Models, and Applications

Authors: Ammann, Manuel

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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 have to promise a higher yield to attract investors. But how much higher a yield? Using methods from contingent claims analysis, credit risk valuation models attempt to put a price on credit risk. This monograph gives an overview of the current methods for the valu­ ation of credit risk and considers several applications of credit risk models in the context of derivative pricing. In particular, credit risk models are in­ corporated into the pricing of derivative contracts that are subject to credit risk. Credit risk can affect prices of derivatives 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 underlying vari­ able of a derivative instrument. In this case, the instrument is called a credit derivative. Fourth, credit derivatives may themselves be exposed to counter­ party risk. This text addresses all of those valuation problems but focuses on counterparty risk. The book is divided into six chapters and an appendix. Chapter 1 gives a brief introduction into credit risk and motivates the use of credit risk models in contingent claims pricing.

Table of contents (7 chapters)

Table of contents (7 chapters)

Buy this book

eBook 117,69 €
price for Spain (gross)
  • ISBN 978-3-662-06425-2
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 155,99 €
price for Spain (gross)
  • ISBN 978-3-540-67805-2
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
Softcover 155,99 €
price for Spain (gross)
  • ISBN 978-3-642-08733-2
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
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Bibliographic Information

Bibliographic Information
Book Title
Credit Risk Valuation
Book Subtitle
Methods, Models, and Applications
Authors
Series Title
Springer Finance
Copyright
2001
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-662-06425-2
DOI
10.1007/978-3-662-06425-2
Hardcover ISBN
978-3-540-67805-2
Softcover ISBN
978-3-642-08733-2
Series ISSN
1616-0533
Edition Number
2
Number of Pages
X, 255
Additional Information
Originally published as volume 470 in the series: Lecture Notes in Economics and Mathematical Systems
Topics

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