Credit risk: modeling, valuation and hedging / Tomasz R. Bielecki; Marek . II is adapted from papers by Jeanblanc and Rutkowski (a, b, ). Credit Risk: Modeling, Valuation and Hedging. Front Cover · Tomasz R. Bielecki, Marek Rutkowski. Springer Science & Business Media, Jan 22, Tomasz R. Bielecki. Marek Rutkowski. Credit Risk: Modeling, Valuation and Hedging Quantitative Models of Credit Risk. Structural Models.
|Published (Last):||15 March 2017|
|PDF File Size:||20.41 Mb|
|ePub File Size:||13.33 Mb|
|Price:||Free* [*Free Regsitration Required]|
These results are then applied so to study the problem of replication of general defaultable claims, including some basket rutkoaski, by means of dynamic trading of credit default swaps. Mahtematical developments are presented in a thorough manner and cover the structural value-of-the-firm and the reduced-form intensity-based approaches to credit risk modeling, applied both to single and to multiple defaults.
An important feature of this book is its attempt to bridge the gap between the mathematical theory of credit risk and the biflecki practice. Graduate students and researchers in areas such as finance theory, mathematical finance, financial engineering and probability theory will benefit from the book as well. It provides an excellent treatment of mathematical aspects of credit risk and will also bileecki useful as a reference for technical details to traders and analysts dealing with credit-risky assets.
Goodreads is the world’s largest site for readers with over 50 million reviews. Article information Source Rutkoswki. This industry has grown around the need to handle credit risk, which is one of the fundamental factors of financial risk.
We’re featuring millions of their reader ratings on our book pages to help you find your new favourite book.
The main reason behind this phenomenon has been the success of sophisticated quantitative methodolo gies in helping professionals manage an risks. Other editions – View all Bjelecki Risk: The main objective of this monograph is to present a comprehensive survey ofthe past developments in the area of credit risk research, as well as put forth the most recent advancements in this field.
BieleckiMarek Rutkowski No preview available – 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.
IntensityBased Valuation of Defaultable Claims. In recent years, we have witnessed a tremendous acceleration in research efforts aimed at better apprehending, modeling and hedging of this kind of risk.
More by Monique Jeanblanc Search this author in: Dispatched from the UK in 3 business days When will my order arrive?
Keywords Credit default swaps defaultable claims first-to-default claims hedging immersion of filtrations Hypothesis H. 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.
Applications of stochastic analysis to PDE, etc.
Credit Risk: Modeling, Valuation and Hedging – Tomasz R. Bielecki, Marek Rutkowski – Google Books
Account Options Sign in. 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.
Credit Risk: Modeling, Valuation and Hedging
Modeling, Valuation and Hedging. You have partial access to this content. Visit our Beautiful Books page and find lovely books for kids, photography lovers valuatlon more. Bielecki Search this author in: Skickas inom vardagar. Dates First available in Project Euclid: Bloggat om Credit Risk: Modeling, Valuation and Hedging. Some aspects of the book may also be useful for market practitioners engaged in managing credit-risk sensitive portfolios.
You do not have access to this content. Download Email Please enter a valid email address.