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Credit Risk Modeling: Theory and Applications

Publikation: ForskningBog

Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut.

Publikationsoplysninger

OriginalsprogEngelsk
Udgivelses stedPrinceton, NJ
UdgiverPrinceton University Press
Antal sider310
ISBN (trykt)0691089299
StatusUdgivet - 2004

Bibliografisk note

Opstilling: 658.155 lan
Løbe nr.: 046153

    Emneord

  • Erhvervsobligationer, Finansiel risiko, Risikoanalyse, Kreditrisiko

ID: 32764