Intensity-Based Credit Risk Models

Name: Intensity-Based Credit Risk Models
Brand: VDM Verlag
SKU: 9783639305685
Price: 20682 HUF
Availability: InStock

A Brief Overview

Szerző: Dirk Banholzer

Nyelv:

Kötés: Puha kötésű

Kiadó: VDM Verlag

Elérhetőség: Kiadói készleten rendelésre

Küldés 17-27 napon belül

20 682 Ft

Credit risk, refering to the risk that an obligor does not honor his payment obligations, has become...

Információk a könyvről

Szerző

Dirk Banholzer

Nyelv

Angol

Kötés

Könyv - Puha kötésű

Kiadva

2010

oldal

144

EAN

9783639305685

ISBN

363930568X

Enbook ID

06837527

Kiadó

VDM Verlag

Súly

222

Méretek

229 x 152 x 9

Teljes leírás

Credit risk, refering to the risk that an obligor does not honor his payment obligations, has become one of the most discussed issues in contemporary quantitative finance. This is not only related to the regulatory requirements of the Basel Accords, but also to the remarkable growth of credit derivatives as well as to the controversially discussed securitization of debt within the subprime crisis. To be able to quantify and manage the arising credit risk successfully, much effort has been put in developing reliable models, which can be classified into two main streams, structural and intensity-based models. This book aims at providing a general overview of latter kind of model class from a theoretical viewpoint, by explaining the fundamental concepts and methods and presenting some of the models which essentially have embossed the popularity of the intensity framework. In doing so, the focus is set on modelig the default of a single obligor. However, different possibilities to incorporate a dependency structure into the intensity-based setting are briefly discussed as well. Finally, the approach of correlated intensities is applied to price a CDS when counterparty risk is present.

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Intensity-Based Credit Risk Models

A Brief Overview

Információk a könyvről

Teljes leírás

Érdekelheti

Azok a vásárlók, akik ezt a könyvet megvásárolták, a következőket is megvásárolták