Credit risk: modeling, valuation, and hedging

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Bielecki T.R., Rutkowski M.

Review

From the reviews: T.R. Bielecki and M. Rutkowski Credit Risk Modeling, Valuation and Hedging "A fairly complete overview of the most important recent developments of credit risk modelling from the viewpoint of mathematical finance . . . It provides an excellent treatment of mathematical aspects of credit risk and will also be useful as a reference for technical details to traders and analysts dealing with credit-risky assets. It is a worthwhile addition to the literature and will serve as highly recommended reading for students and researchers in the subject area for some years to come." —MATHEMATICAL REVIEWS "The main purpose of this outstanding monograph is to present a comprehensive survey of the existing developments in the area of credit risk research, as well as to put forth the most recent advancements in this field. An important feature of this book is its attempt to bridge the gap between the mathematical theory of credit risk and the financial practice. ... The content of this book provides an indispensable guide to graduate students, researchers, and also to advanced practitioners in the fields ... ." (Neculai Curteanu, Zentralblatt MATH, Vol. 979, 2002)

Product Description

The main objective of Credit Risk: Modeling, Valuation and Hedging is to present a comprehensive survey of the past developments in the area of credit risk research, as well as to put forth the most recent advancements in this field. An important aspect of this text is that it attempts to bridge the gap between the mathematical theory of credit risk and the financial practice, which serves as the motivation for the mathematical modeling studied in the book. Mathematical developments are presented in a thorough manner and cover the structural (value-of-the-firm) and the reduced (intensity-based) approaches to credit risk modeling, applied both to single and to multiple defaults. In particular, the book offers a detailed study of various arbitrage-free models of defaultable term structures with several rating grades.

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Product Details

* Hardcover: 540 pages

* Publisher: Springer (March 5, 2004)

* Language: English

* ISBN-10: 3540675930

* ISBN-13: 978-3540675938

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