This book will be an important reference for practitioners involved with managing portfolios sensitive to credit risk. Graduate students and researchers in mathematical finance, financial engineering, finance and probability will also benefit from the book.

1st book on the market presenting a comprehensive approach to the quantative risk modelling provides a mathematical platform for all sorts of applications related to financial products whose value is partially or entirely derived from credit risk related events Includes supplementary material: sn.pub/extras

Autorentext

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Inhalt

1. Introduction to Credit Risk.- 2. Corporate Debt.- 3. First-Passage-Time Models.- 4. Hazard Function of a Random Time.- 5. Hazard Process of a Random Time.- 6. Martingale Hazard Process.- 7. Case of Several Random Times.- 8. Intensity-Based Valuation of Defaultable Claims.- 9. Conditionally Independent Defaults.- 10. Dependent Defaults.- 11. Markov Chains.- 12. Markovian Models of Credit Migrations.- 13. Heath-Jarrow-Morton Type Models.- 14. Defaultable Market Rates.- 15. Modeling of Market Rates.- References.- Basic Notation.