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 …

The finance literature looks at a number of factors to explain risk premia in corporate debt, such as liquidity effects …, jump-to-default risk, and contagion risk. Stochastic recovery rates as a source of systematic risk have not received much … differently-ranking debt instruments of the same issuer face identical default risk but different default-conditional recovery …

This book presents the state-of-the-art with respect to credit risk evaluation and pricing within the contemporary …

structures as well as for risk management and measurement applications involving the generation of scenarios for the complete … universe of risk factors and the inclusion of CDO structures in a portfolio context. For this objective, it is especially …

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 …

This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The … state of the art in: "Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding … valuation adjustment, and wrong way risk"; Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling …

expanded. Several new chapters have been added including: * Derivative losses * Risk governance and risk management efforts …Since the publication of the second edition of The Credit Risk of Complex Derivatives in 1997, the world of derivatives … and risk management techniques. In the light of these changes, the text has been substantially reorganized, updated and …