Three Essays in Credit Risk PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Three Essays in Credit Risk PDF full book. Access full book title Three Essays in Credit Risk by Gordon Delianedis. Download full books in PDF and EPUB format.
Author: Gordon Delianedis
Publisher:
ISBN:
Category : Credit
Languages : en
Pages : 326
Get Book Here
Book Description
Author: Gordon Delianedis
Publisher:
ISBN:
Category : Credit
Languages : en
Pages : 326
Get Book Here
Book Description
Author: Robert A. Jarrow
Publisher: World Scientific
ISBN: 9812819223
Category : Business & Economics
Languages : en
Pages : 609
Get Book Here
Book Description
This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous HeathOCoJarrowOCoMorton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.
Author: Georg Bol
Publisher: Springer Science & Business Media
ISBN: 3642593658
Category : Business & Economics
Languages : en
Pages : 334
Get Book Here
Book Description
New developments in measuring, evaluating and managing credit risk are discussed in this volume. Addressing both practitioners in the banking sector and resesarch institutions, the book provides a manifold view on one of the most-discussed topics in finance. Among the subjects treated are important issues, such as: the consequences of the new Basel Capital Accord (Basel II), different applications of credit risk models, and new methodologies in rating and measuring credit portfolio risk. The volume provides an overview of recent developments as well as future trends: a state-of-the-art compendium in the area of credit risk.
Author: Clemens Mueller
Publisher:
ISBN:
Category :
Languages : en
Pages : 208
Get Book Here
Book Description
Author:
Publisher:
ISBN:
Category : Dissertation abstracts
Languages : en
Pages : 776
Get Book Here
Book Description
Author: Tomasz R. Bielecki
Publisher: Springer Science & Business Media
ISBN: 3662048213
Category : Business & Economics
Languages : en
Pages : 517
Get Book Here
Book 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.
Author: Xiaolong Liu
Publisher: Rozenberg Publishers
ISBN: 9036101999
Category :
Languages : en
Pages : 132
Get Book Here
Book Description
Author: Yue Kuen Kwok
Publisher: Springer
ISBN: 3319741012
Category : Mathematics
Languages : en
Pages : 134
Get Book Here
Book Description
This book summarizes recent advances in applying saddlepoint approximation methods to financial engineering. It addresses pricing exotic financial derivatives and calculating risk contributions to Value-at-Risk and Expected Shortfall in credit portfolios under various default correlation models. These standard problems involve the computation of tail probabilities and tail expectations of the corresponding underlying state variables. The text offers in a single source most of the saddlepoint approximation results in financial engineering, with different sets of ready-to-use approximation formulas. Much of this material may otherwise only be found in original research publications. The exposition and style are made rigorous by providing formal proofs of most of the results. Starting with a presentation of the derivation of a variety of saddlepoint approximation formulas in different contexts, this book will help new researchers to learn the fine technicalities of the topic. It will also be valuable to quantitative analysts in financial institutions who strive for effective valuation of prices of exotic financial derivatives and risk positions of portfolios of risky instruments.
Author: Philipp J. Schönbucher
Publisher: John Wiley & Sons
ISBN: 0470868171
Category : Business & Economics
Languages : en
Pages : 396
Get Book Here
Book Description
The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue. Dr. Philipp J. Schönbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation.
Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 610
Get Book Here
Book Description
