Pricing Derivative Credit Risk:
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 appli...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin, Heidelberg
Springer Berlin Heidelberg
1999
|
| Ausgabe: | 1st ed. 1999 |
| Schriftenreihe: | Lecture Notes in Economics and Mathematical Systems
470 |
| Schlagworte: | |
| Online-Zugang: | BTU01 URL des Erstveröffentlichers |
| Zusammenfassung: | 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 |
| Beschreibung: | 1 Online-Ressource (XII, 232 p. 13 illus) |
| ISBN: | 9783662223307 |
| DOI: | 10.1007/978-3-662-22330-7 |
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| discipline | Mathematik Wirtschaftswissenschaften |
| discipline_str_mv | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1007/978-3-662-22330-7 |
| edition | 1st ed. 1999 |
| format | Electronic eBook |
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| spelling | Ammann, Manuel Verfasser aut Pricing Derivative Credit Risk by Manuel Ammann 1st ed. 1999 Berlin, Heidelberg Springer Berlin Heidelberg 1999 1 Online-Ressource (XII, 232 p. 13 illus) txt rdacontent c rdamedia cr rdacarrier Lecture Notes in Economics and Mathematical Systems 470 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 Finance, general Quantitative Finance Finance Economics, Mathematical Zinsstrukturtheorie (DE-588)4117720-4 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Messung (DE-588)4038852-9 gnd rswk-swf Kreditderivat (DE-588)7660453-6 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content 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 DE-604 Kreditderivat (DE-588)7660453-6 s Preisbildung (DE-588)4047103-2 s Mathematisches Modell (DE-588)4114528-8 s Risikomanagement (DE-588)4121590-4 s Erscheint auch als Druck-Ausgabe 9783540657538 Erscheint auch als Druck-Ausgabe 9783662223314 https://doi.org/10.1007/978-3-662-22330-7 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Ammann, Manuel Pricing Derivative Credit Risk Finance, general Quantitative Finance Finance Economics, Mathematical Zinsstrukturtheorie (DE-588)4117720-4 gnd Risikomanagement (DE-588)4121590-4 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Messung (DE-588)4038852-9 gnd Kreditderivat (DE-588)7660453-6 gnd Kreditrisiko (DE-588)4114309-7 gnd Preisbildung (DE-588)4047103-2 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| subject_GND | (DE-588)4117720-4 (DE-588)4121590-4 (DE-588)4381572-8 (DE-588)4038852-9 (DE-588)7660453-6 (DE-588)4114309-7 (DE-588)4047103-2 (DE-588)4114528-8 (DE-588)4113937-9 |
| title | Pricing Derivative Credit Risk |
| title_auth | Pricing Derivative Credit Risk |
| title_exact_search | Pricing Derivative Credit Risk |
| title_exact_search_txtP | Pricing Derivative Credit Risk |
| title_full | Pricing Derivative Credit Risk by Manuel Ammann |
| title_fullStr | Pricing Derivative Credit Risk by Manuel Ammann |
| title_full_unstemmed | Pricing Derivative Credit Risk by Manuel Ammann |
| title_short | Pricing Derivative Credit Risk |
| title_sort | pricing derivative credit risk |
| topic | Finance, general Quantitative Finance Finance Economics, Mathematical Zinsstrukturtheorie (DE-588)4117720-4 gnd Risikomanagement (DE-588)4121590-4 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Messung (DE-588)4038852-9 gnd Kreditderivat (DE-588)7660453-6 gnd Kreditrisiko (DE-588)4114309-7 gnd Preisbildung (DE-588)4047103-2 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Finance, general Quantitative Finance Finance Economics, Mathematical Zinsstrukturtheorie Risikomanagement Derivat Wertpapier Messung Kreditderivat Kreditrisiko Preisbildung Mathematisches Modell Hochschulschrift |
| url | https://doi.org/10.1007/978-3-662-22330-7 |
| work_keys_str_mv | AT ammannmanuel pricingderivativecreditrisk |