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TitleCredit risk
Author Marek Capinski, Tomasz Zastawniak
ImprintCambridge, United Kingdom ; New York, NY : Cambridge University Press, 2017
Descript vii, 194 pages ; 23 cm


Modelling credit risk accurately is central to the practice of mathematical finance. This volume of the Mastering Mathematical Finance series offers a comprehensive and accessible introduction to the subject tailored specially for master's students. The book focuses on the two mainstream modelling approaches to credit risk, namely structural models and reduced form models, and on pricing selected credit risk derivatives. Balancing rigorous theory with real-world examples from the post-credit crisis financial markets, it takes readers through a natural development of mathematical ideas and financial intuition. Students, practitioners and researchers alike will benefit from the compact presentation and detailed worked examples, exercises and solutions


Structural models -- Hazard function model and no arbitrage -- Defaultable bond pricing with hazard function -- Security pricing with hazard function -- Hazard process model -- Security pricing with hazard process -- Appendix. Lebesgue-Stieltjes integral ; Passage time and minimum of Wiener process ; Stochastic calculus with martingales

Credit -- Management -- Mathematical models Risk assessment -- Mathematical models Business mathematics

Chula Business School Library658.880151 C243C 2017CHECK SHELVES

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