Credit Risk Valuation: Methods, Models, and Applications
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2001
|
| Ausgabe: | Second Edition |
| Schriftenreihe: | Springer Finance
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | 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 valuation of credit risk and considers several applications of credit risk models in the context of derivative pricing. In particular, credit risk models are incorporated 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 variable of a derivative instrument. In this case, the instrument is called a credit derivative. Fourth, credit derivatives may themselves be exposed to counterparty 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 |
| Beschreibung: | 1 Online-Ressource (X, 255 p) |
| ISBN: | 9783662064252 9783642087332 |
| ISSN: | 1616-0533 |
| DOI: | 10.1007/978-3-662-06425-2 |
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Datensatz im Suchindex
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|---|---|
| any_adam_object | |
| author | Ammann, Manuel |
| author_facet | Ammann, Manuel |
| author_role | aut |
| author_sort | Ammann, Manuel |
| author_variant | m a ma |
| building | Verbundindex |
| bvnumber | BV042423376 |
| classification_tum | MAT 000 |
| collection | ZDB-2-SMA ZDB-2-BAE |
| ctrlnum | (OCoLC)863904143 (DE-599)BVBBV042423376 |
| dewey-full | 658.152 657.8333 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 658 - General management 657 - Accounting |
| dewey-raw | 658.152 657.8333 |
| dewey-search | 658.152 657.8333 |
| dewey-sort | 3658.152 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1007/978-3-662-06425-2 |
| edition | Second Edition |
| format | Electronic eBook |
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| id | DE-604.BV042423376 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:21:13Z |
| institution | BVB |
| isbn | 9783662064252 9783642087332 |
| issn | 1616-0533 |
| language | English |
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| spelling | Ammann, Manuel Verfasser aut Credit Risk Valuation Methods, Models, and Applications by Manuel Ammann Second Edition Berlin, Heidelberg Springer Berlin Heidelberg 2001 1 Online-Ressource (X, 255 p) txt rdacontent c rdamedia cr rdacarrier Springer Finance 1616-0533 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 valuation of credit risk and considers several applications of credit risk models in the context of derivative pricing. In particular, credit risk models are incorporated 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 variable of a derivative instrument. In this case, the instrument is called a credit derivative. Fourth, credit derivatives may themselves be exposed to counterparty 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 Economics Finance Economics/Management Science Finance/Investment/Banking Quantitative Finance Management Wirtschaft Zinsstrukturtheorie (DE-588)4117720-4 gnd rswk-swf Messung (DE-588)4038852-9 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Kreditderivat (DE-588)7660453-6 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 s Kreditrisiko (DE-588)4114309-7 s Messung (DE-588)4038852-9 s Zinsstrukturtheorie (DE-588)4117720-4 s 1\p DE-604 Kreditderivat (DE-588)7660453-6 s 2\p DE-604 https://doi.org/10.1007/978-3-662-06425-2 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Ammann, Manuel Credit Risk Valuation Methods, Models, and Applications Economics Finance Economics/Management Science Finance/Investment/Banking Quantitative Finance Management Wirtschaft Zinsstrukturtheorie (DE-588)4117720-4 gnd Messung (DE-588)4038852-9 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Kreditrisiko (DE-588)4114309-7 gnd Kreditderivat (DE-588)7660453-6 gnd |
| subject_GND | (DE-588)4117720-4 (DE-588)4038852-9 (DE-588)4381572-8 (DE-588)4114309-7 (DE-588)7660453-6 |
| title | Credit Risk Valuation Methods, Models, and Applications |
| title_auth | Credit Risk Valuation Methods, Models, and Applications |
| title_exact_search | Credit Risk Valuation Methods, Models, and Applications |
| title_full | Credit Risk Valuation Methods, Models, and Applications by Manuel Ammann |
| title_fullStr | Credit Risk Valuation Methods, Models, and Applications by Manuel Ammann |
| title_full_unstemmed | Credit Risk Valuation Methods, Models, and Applications by Manuel Ammann |
| title_short | Credit Risk Valuation |
| title_sort | credit risk valuation methods models and applications |
| title_sub | Methods, Models, and Applications |
| topic | Economics Finance Economics/Management Science Finance/Investment/Banking Quantitative Finance Management Wirtschaft Zinsstrukturtheorie (DE-588)4117720-4 gnd Messung (DE-588)4038852-9 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Kreditrisiko (DE-588)4114309-7 gnd Kreditderivat (DE-588)7660453-6 gnd |
| topic_facet | Economics Finance Economics/Management Science Finance/Investment/Banking Quantitative Finance Management Wirtschaft Zinsstrukturtheorie Messung Derivat Wertpapier Kreditrisiko Kreditderivat |
| url | https://doi.org/10.1007/978-3-662-06425-2 |
| work_keys_str_mv | AT ammannmanuel creditriskvaluationmethodsmodelsandapplications |