Credit risk
In: Mastering mathematical finance
Abstract
Modelling credit risk accurately is central to the practice of mathematical finance. This volume of the Mastering Mathematical Finance series offers a comprehensive and accessible introduction to the subject tailored specially for master's students. The book focuses on the two mainstream modelling approaches to credit risk, namely structural models and reduced form models, and on pricing selected credit risk derivatives. Balancing rigorous theory with real-world examples from the post-credit crisis financial markets, it takes readers through a natural development of mathematical ideas and financial intuition. Students, practitioners and researchers alike will benefit from the compact presentation and detailed worked examples, exercises and solutions
Verfügbarkeit
Themen
Sprachen
Englisch
Verlag
Cambridge University Press
ISBN
1107002761, 9781107002760, 9780521175753
Seiten
vii, 194 Seiten
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