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Credit Risk Valuation on Hardback by Manuel Ammann
Credit Risk Valuation on Hardback by Manuel Ammann
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Credit Risk Valuation

Methods, Models, and Applications
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Description

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.
Release date Australia
June 22nd, 2001
Author
Audience
  • Professional & Vocational
Edition
2nd ed. 2001
Illustrations
X, 255 p.
Pages
255
Dimensions
156x234x15
ISBN-13
9783540678052
Product ID
2108580

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