Credit Risk Valuation: Methods, Models, and Applications

✍ Scribed by Dr. Manuel Ammann (auth.)

• Publisher: Springer Berlin Heidelberg
• Year: 2001
• Tongue: English
• Leaves: 258
• Series: Springer Finance
• Category: Library

✦ Synopsis

This book offers an advanced introduction to the models of credit risk valuation. It concentrates on firm-value and reduced-form approaches and their applications in practice. Additionally, the book includes new models for valuing derivative securities with credit risk, focussing on options and forward contracts subject to counterparty default risk, but also treating options on credit-risky bonds and credit derivatives. The text provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multi-variate trees used to price derivative credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives.

✦ Table of Contents

Front Matter....Pages I-X
Introduction....Pages 1-11
Contingent Claim Valuation....Pages 13-45
Credit Risk Models....Pages 47-75
A Firm Value Pricing Model for Derivatives with Counterparty Default Risk....Pages 77-140
A Hybrid Pricing Model for Contingent Claims with Credit Risk....Pages 141-174
Pricing Credit Derivatives....Pages 175-216
Conclusion....Pages 217-221
Back Matter....Pages 223-255

✦ Subjects

Finance/Investment/Banking; Quantitative Finance