Extent: | 1 Online-Ressource (416 p.) 137 line illus. 34 tables |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Frontmatter Contents Preface Acknowledgments 1 Introduction 2 Economic Principles of Risk Management 3 Default Arrival: Historical Patterns and Statistical Models 4 Ratings Transitions: Historical Patterns and Statistical Models 5 Conceptual Approaches to Valuation of Default Risk 6 Pricing Corporate and Sovereign Bonds 7 Empirical Models of Defaultable Bond Spreads 8 Credit Swaps 9 Optional Credit Pricing 10 Correlated Defaults 11 Collateralized Debt Obligations 12 Over-the-Counter Default Risk and Valuation 13 Integrated Market and Credit Risk Measurement A Introduction to Affine Processes B Econometrics of Affine Term-Structure Models C HJM Spread Curve Models References Index In English |
ISBN: | 978-1-4008-2917-0 |
Other identifiers: | 10.1515/9781400829170 [DOI] 10.1515/9781400829170?locatt=mode:legacy [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014482582