Description

Book Synopsis
The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time.

Table of Contents
Preface.

Acknowledgements.

Abbreviations.

Notation.

1. Introduction.

2. Credit Derivatives: Overview and Hedge-Based Pricing.

3. Credit Spreads and Bond Price-Based Pricing.

4. Mathematical Background.

5. Advanced Credit Spread Models.

6. Recovery Modelling.

7. Implementation of Intensity-Based Models.

8. Credit Rating Models.

9. Firm Value and Share Price-Based Models.

10. Models for Default Correlation.

Bibliography.

Index.

Credit Derivatives Pricing Models

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    A Hardback by Philipp J. Schönbucher

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      Book details

      Publisher John Wiley & Sons Inc
      Published 16 May 2003
      ISBN-13 9780470842911
      978-0470842911
      ISBN-10 0470842911
      Also in:
      Finance and accounting Investment and securities

      Description

      Book Synopsis
      The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time.

      Table of Contents
      Preface.

      Acknowledgements.

      Abbreviations.

      Notation.

      1. Introduction.

      2. Credit Derivatives: Overview and Hedge-Based Pricing.

      3. Credit Spreads and Bond Price-Based Pricing.

      4. Mathematical Background.

      5. Advanced Credit Spread Models.

      6. Recovery Modelling.

      7. Implementation of Intensity-Based Models.

      8. Credit Rating Models.

      9. Firm Value and Share Price-Based Models.

      10. Models for Default Correlation.

      Bibliography.

      Index.

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