ENGLISH

Credit Risk

By Marek Capinski , Tomasz Zastawniak

Book information

Publisher
Cambridge University Press
Year
2017
ISBN
1107002761, 9781107002760
Language
english
Format
PDF
Filesize
1 MB (1440794 bytes)
Series
Mastering Mathematical Finance
Edition
1
Pages
201\202
Scanned
yes
Time added
2017-03-22 21:33:15
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Description

Modelling credit risk accurately is central to the practice of mathematical finance. The majority of available texts are aimed at an advanced level, and are more suitable for PhD students and researchers. This volume of the Mastering Mathematical Finance series addresses the need for a course intended for master's students, final-year undergraduates, and practitioners. 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 examples, it takes readers through a natural development of mathematical ideas and financial intuition.

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