implements his approach using credit default swap data …

This book presents the state-of-the-art with respect to credit risk evaluation and pricing within the contemporary … global banking and financial system. It focuses on credit pricing in illiquid, liquid and hybrid markets. No one with any … connection to the credit management business will be able to do without it …

credit and financial risk of a firm. In addition, she provides an introduction into credit risk fundamentals by focusing on … credit default swaps. Thereby she analyses the development of credit default swap market as well as the components of credit … credit risk fundamentals and methods of determining credit risk Credit default swaps Does cost stickiness affect credit or …

CDO: General Characteristics.- Credit Risk Modeling -- Copula Functions and Dependency Concepts -- Moment Matching … higher when the dependence is modeled by a Clayton copula. Contents CDO: General Characteristics Credit Risk Modeling Copula …

Kredit und Kreditrisiko -- Kreditderivate -- Der Credit Default Swap (CDS) -- Externes Rating, CDS und Informationseffi … Kreditderivate-Marktes ist der Credit Default Swap. Eva Wagner stellt den Informationsgehalt von Credit Default Swap (CDS) dem … anderer etablierter Märkte, auf denen das Kreditrisiko relevant ist, sowie dem des externen Rating gegenüber. Sie zeigt …

This book is the first comprehensive treatment of structural credit risk models for the simultaneous and consistent … advanced economic settings or to price derivatives on corporate securities. Numerical examples make the theory easily …

Introduction -- Part I Fundamentals: Credit Derivatives and Markets -- Mathematical Preliminaries -- Part II Static …This book considers the one-factor copula model for credit portfolios that are used for pricing synthetic CDO …

Credit Risk Measurement in the Context of Basel II -- Concentration Risk in Credit Portfolios and Its Treatment Under … Basel II -- Model-Based Measurement of Name Concentration Risk in Credit Portfolios -- Model-Based Measurement of Sector … Concentration Risk in Credit Portfolios -- Conclusion …