Credit Risk Modeling: Theory and Applications

Research output: Book/ReportBookResearch

Abstract

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.
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.
LanguageEnglish
Place of PublicationPrinceton, NJ
PublisherPrinceton University Press
Number of pages310
ISBN (Print)0691089299
StatePublished - 2004

Keywords

    Cite this

    Lando, D. (2004). Credit Risk Modeling: Theory and Applications. Princeton, NJ: Princeton University Press.
    Lando, David. / Credit Risk Modeling : Theory and Applications. Princeton, NJ : Princeton University Press, 2004. 310 p.
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    Lando, D 2004, Credit Risk Modeling: Theory and Applications. Princeton University Press, Princeton, NJ.

    Credit Risk Modeling : Theory and Applications. / Lando, David.

    Princeton, NJ : Princeton University Press, 2004. 310 p.

    Research output: Book/ReportBookResearch

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    Lando D. Credit Risk Modeling: Theory and Applications. Princeton, NJ: Princeton University Press, 2004. 310 p.