Название: Credit Risk Pricing Models: Theory and Practice, 2nd edition
Серия: Springer Finance
Автор: Bernd Schmid
Издательство: Springer
Год: 2004
Формат: pdf
Страниц: 388
Размер: 30,1 Мб
Язык: английский


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.











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