Tomaz R.Bielecki – Credit Risk
Tomaz R.Bielecki – Credit Risk

Tomaz R.Bielecki – Credit Risk

Toni Turner – Toni’s Market Club Toni Turner – Toni’s Market Club
Tom Demark – Identifying Low-Risk Trading Opportunities Tom Demark – Identifying Low-Risk Trading Opportunities

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Size 23.5 MB

PDF: 524 pages
Publisher: Springer; 1st ed. 2002. Corr. 2nd printing 2004 edition (22 Jan. 2004)
Language: English
ISBN-10: 3540675930
ISBN-13: 978-3540675938

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Description

The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.