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David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.
David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.
| Erscheinungsjahr: | 2004 |
|---|---|
| Fachbereich: | Volkswirtschaft |
| Genre: | Importe, Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: | Einband - fest (Hardcover) |
| ISBN-13: | 9780691089294 |
| ISBN-10: | 0691089299 |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Autor: | Lando, David |
| Redaktion: |
Duffie, Darrell
Schaefer, Stephen |
| Hersteller: | Princeton University Press |
| Verantwortliche Person für die EU: | Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de |
| Maße: | 240 x 161 x 22 mm |
| Von/Mit: | David Lando |
| Erscheinungsdatum: | 21.06.2004 |
| Gewicht: | 0,676 kg |
| Erscheinungsjahr: | 2004 |
|---|---|
| Fachbereich: | Volkswirtschaft |
| Genre: | Importe, Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: | Einband - fest (Hardcover) |
| ISBN-13: | 9780691089294 |
| ISBN-10: | 0691089299 |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Autor: | Lando, David |
| Redaktion: |
Duffie, Darrell
Schaefer, Stephen |
| Hersteller: | Princeton University Press |
| Verantwortliche Person für die EU: | Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de |
| Maße: | 240 x 161 x 22 mm |
| Von/Mit: | David Lando |
| Erscheinungsdatum: | 21.06.2004 |
| Gewicht: | 0,676 kg |
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