ENGLISH

Credit risk: modeling, valuation, and hedging

By Tomasz R. Bielecki , Marek Rutkowski

Book information

Publisher
Springer
Year
2004
ISBN
3540675930, 9783540675938
Open Library ID
OL17038808M
Language
english
Format
DJVU
Filesize
5 MB (5228192 bytes)
Pages
540\540
Library
Kolxo3
DPI
300
Time added
2009-07-20 03:45:11

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.

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