Credit risk / Marek Capinski, Tomasz Zastawniak.
Material type: TextSeries: Mastering mathematical financePublisher: Cambridge : Cambridge University Press, 2017Description: 1 online resource (vii, 194 pages) : digital, PDF file(s)Content type:- text
- computer
- online resource
- 9781139047432 (ebook)
- 658.8/80151 23
- HG3751 .C36 2017
Title from publisher's bibliographic system (viewed on 31 Jan 2017).
Modelling credit risk accurately is central to the practice of mathematical finance. The majority of available texts are aimed at an advanced level, and are more suitable for PhD students and researchers. This volume of the Mastering Mathematical Finance series addresses the need for a course intended for master's students, final-year undergraduates, and practitioners. The book focuses on the two mainstream modelling approaches to credit risk, namely structural models and reduced-form models, and onpricing selected credit risk derivatives. Balancing rigorous theory with examples, it takes readers through a natural development of mathematical ideas and financial intuition.
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