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Springer Finance

Credit Risk Pricing Models

Theory and Practice

Authors: Schmid, Bernd

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eBook $169.00
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  • ISBN 978-3-540-24716-6
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Hardcover $219.99
price for USA in USD
  • ISBN 978-3-540-40466-8
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  • Usually dispatched within 3 to 5 business days.
Softcover $219.99
price for USA in USD
  • ISBN 978-3-642-07335-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

This new edition is a greatly extended and updated version of my earlier monograph "Pricing Credit Linked Financial Instruments" (Schmid 2002). Whereas the first edition concentrated on the re­ search which I had done in the context of my PhD thesis, this second edition covers all important credit risk models and gives a general overview of the subject. I put a lot of effort in explaining credit risk factors and show the latest results in default probability and recovery rate modeling. There is a special emphasis on correlation issues as well. The broad range of financial instruments I consider covers not only defaultable bonds, defaultable swaps and single counterparty credit derivatives but is further extended by multi counterparty in­ struments like index swaps, basket default swaps and collateralized debt obligations. I am grateful to Springer-Verlag for the great support in the realiza­ tion of this project and want to thank the readers of the first edition for their overwhelming feedback. Last but not least I want to thank Uli Göser for ongoing patience, en­ couragement, and support, my family and especially my sister Wendy for being there at all times. BemdSchmid Stuttgart, November 2003 Cpntents 1. Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1. 1 Motivation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1. 2 Objectives, Structure, and S:ummary . . . . . . . . . . . . . . . . . . . . . . 5 2. Modeling Credit Risk Factors. . . . . . . . . . . . . . . . . . . . . . . 13 . . . . . . 2. 1 Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 2. 2 Definition and Elements of Credit Risk . . . . . . . . . . . . . . . . 13 . . . . 2. 3 Modeling Transition and Default Probabilities. . . . . . . . . . . . . 14 . 2. 3. 1 The Historical Method . . . . . . . . . . . . . . . . . . . . . . 15 . . . . . .

Table of contents (6 chapters)

Buy this book

eBook $169.00
price for USA in USD (gross)
  • ISBN 978-3-540-24716-6
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $219.99
price for USA in USD
  • ISBN 978-3-540-40466-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $219.99
price for USA in USD
  • ISBN 978-3-642-07335-9
  • 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 Pricing Models
Book Subtitle
Theory and Practice
Authors
Series Title
Springer Finance
Copyright
2004
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-24716-6
DOI
10.1007/978-3-540-24716-6
Hardcover ISBN
978-3-540-40466-8
Softcover ISBN
978-3-642-07335-9
Series ISSN
1616-0533
Edition Number
2
Number of Pages
XI, 383
Additional Information
Originally published with the title "Pricing Credit Linked Financial Instruments" as volume 516 in the series: Lecture Notes in Economics and Mathematical Systems
Topics