Credit Risk Modeling: Theory and Applications
Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers a...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Princeton, NJ
Princeton University Press
[2009]
|
| Schriftenreihe: | Princeton Series in Finance
|
| Schlagworte: | |
| Online-Zugang: | DE-1046 DE-1043 DE-858 DE-859 DE-860 DE-739 DE-473 Volltext |
| Zusammenfassung: | Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations |
| Beschreibung: | Description based on online resource; title from PDF title page (publisher's Web site, viewed 01. Dez 2022) |
| Beschreibung: | 1 Online-Ressource (328 Seiten) 45 line illus. 30 tables |
| ISBN: | 9781400829194 |
| DOI: | 10.1515/9781400829194 |
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| isbn | 9781400829194 |
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| spelling | Lando, David Verfasser aut Credit Risk Modeling Theory and Applications David Lando Princeton, NJ Princeton University Press [2009] © 2004 1 Online-Ressource (328 Seiten) 45 line illus. 30 tables txt rdacontent c rdamedia cr rdacarrier Princeton Series in Finance Description based on online resource; title from PDF title page (publisher's Web site, viewed 01. Dez 2022) Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations In English BUSINESS & ECONOMICS / Economics / Theory bisacsh https://doi.org/10.1515/9781400829194?locatt=mode:legacy Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Lando, David Credit Risk Modeling Theory and Applications BUSINESS & ECONOMICS / Economics / Theory bisacsh |
| title | Credit Risk Modeling Theory and Applications |
| title_auth | Credit Risk Modeling Theory and Applications |
| title_exact_search | Credit Risk Modeling Theory and Applications |
| title_exact_search_txtP | Credit Risk Modeling Theory and Applications |
| title_full | Credit Risk Modeling Theory and Applications David Lando |
| title_fullStr | Credit Risk Modeling Theory and Applications David Lando |
| title_full_unstemmed | Credit Risk Modeling Theory and Applications David Lando |
| title_short | Credit Risk Modeling |
| title_sort | credit risk modeling theory and applications |
| title_sub | Theory and Applications |
| topic | BUSINESS & ECONOMICS / Economics / Theory bisacsh |
| topic_facet | BUSINESS & ECONOMICS / Economics / Theory |
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