Credit Risk

Modeling, Valuation and Hedging

Tomasz R. Bielecki, Marek Rutkowski

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English

Springer Verlag
01 June 2002

Finance; Sales & marketing; Mathematics & Sciences; Mathematical modelling

Series: Springer Finance

The main objective of Credit Risk: Modeling, Valuation and Hedging is to present a comprehensive survey of the past developments in the area of credit risk research, as well as to 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. Mathematical developments are presented in a thorough manner and cover the structural (value-of-the-firm) and the reduced (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.

By: Tomasz R. Bielecki, Marek Rutkowski
Imprint: Springer Verlag
Country of Publication: Germany
Dimensions: Height: 235mm, Width: 155mm, Spine: 28mm
Weight: 2.000kg
ISBN: 9783540675938
ISBN 10: 3540675930
Series: Springer Finance
Pages: 524
Publication Date: 01 June 2002
Audience: College/higher education , Professional and scholarly , Further / Higher Education , Undergraduate
Format: Hardback
Publisher's Status: Active

1. Introduction to Credit Risk.- 2. Corporate Debt.- 3. First-Passage-Time Models.- 4. Hazard Function of a Random Time.- 5. Hazard Process of a Random Time.- 6. Martingale Hazard Process.- 7. Case of Several Random Times.- 8. Intensity-Based Valuation of Defaultable Claims.- 9. Conditionally Independent Defaults.- 10. Dependent Defaults.- 11. Markov Chains.- 12. Markovian Models of Credit Migrations.- 13. Heath-Jarrow-Morton Type Models.- 14. Defaultable Market Rates.- 15. Modeling of Market Rates.- References.- Basic Notation.

Reviews for Credit Risk: Modeling, Valuation and Hedging

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)