Pricing Derivative Credit Risk
Credit risk is an important consideration in most financial transactions. As for any other risk, the risk taker requires compensation for the undiversifiable part of the risk taken. In bond markets, for example, riskier issues generally promise investors a higher yield. The same principle also appli...
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| Format: | eBook |
| Language: | English |
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Berlin, Heidelberg
Springer Berlin Heidelberg
1999, 1999
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| Edition: | 1st ed. 1999 |
| Series: | Lecture Notes in Economics and Mathematical Systems
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| Subjects: | |
| Online Access: | |
| Collection: | Springer Book Archives -2004 - Collection details see MPG.ReNa |
Table of Contents:
- 1. Introduction
- 2. Contingent Claim Valuation
- 3. Review of Credit Risk Models
- 4. Firm Value Model
- 5. Hybrid Model
- 6. Credit Derivatives
- 7. Conclusion
- A. Proofs
- A.1 Proof of Proposition 4.2.1
- A.2 Proof of Proposition 4.3.1
- A.3 Proof of Proposition 4.4.1
- A.4 Proof of Proposition 4.5.1
- A.5 Proof of Proposition 6.3.1
- B. Stochastic Utilities
- B.1 Probabilistic Foundations
- B.2 Process Classes
- B.3 Martingales
- B.4 Brownian Motion
- B.5 Stochastic Integration
- B.6 Change of Measure
- References
- List of Figures
- List of Tables