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Credit Risk: Modeling, Valuation and Hedging Tomasz R. Bielecki

Credit Risk: Modeling, Valuation and Hedging By Tomasz R. Bielecki

Credit Risk: Modeling, Valuation and Hedging by Tomasz R. Bielecki

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Summary

The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling.

Credit Risk: Modeling, Valuation and Hedging Summary

Credit Risk: Modeling, Valuation and Hedging by Tomasz R. Bielecki

The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.

Credit Risk: Modeling, Valuation and Hedging Reviews

From the reviews:

T.R. Bielecki and M. Rutkowski

Credit Risk

Modeling, Valuation and Hedging

A fairly complete overview of the most important recent developments of credit risk modelling from the viewpoint of mathematical finance . . . It provides an excellent treatment of mathematical aspects of credit risk and will also be useful as a reference for technical details to traders and analysts dealing with credit-risky assets. It is a worthwhile addition to the literature and will serve as highly recommended reading for students and researchers in the subject area for some years to come.

-MATHEMATICAL REVIEWS

The main purpose of this outstanding monograph is to present a comprehensive survey of the existing developments in the area of credit risk research, as well as to put forth the most recent advancements in this field. An important feature of this book is its attempt to bridge the gap between the mathematical theory of credit risk and the financial practice. ... The content of this book provides an indispensable guide to graduate students, researchers, and also to advanced practitioners in the fields ... . (Neculai Curteanu, Zentralblatt MATH, Vol. 979, 2002)

About Tomasz R. Bielecki

1

Table of Contents

The main objective of Credit Risk: Modeling, Valuation and Hedging is to present a comprehensive survey of the past developments in the area of credit risk research, as well as to put forth the most recent advancements in this field. An important aspect of this text is that it attempts to bridge the gap between the mathematical theory of credit risk and the financial practice, which serves as the motivation for the mathematical modeling studied in the book. Mathematical developments are presented in a thorough manner and cover the structural (value-of-the-firm) and the reduced (intensity-based) approaches to credit risk modeling, applied both to single and to multiple defaults. In particular, the book offers a detailed study of various arbitrage-free models of defaultable term structures with several rating grades. This volume will serve as a valuable reference for financial analysts and traders involved with credit derivatives. Some aspects of the book may also be useful for market practitioners engaged in managing credit-risk sensitive portfolios. Graduate students and researchers in areas such as finance theory, mathematical finance, financial engineering and probability theory will benefit from the book as well. On the technical side, readers are assumed to be familiar with graduate level probability theory, theory of stochastic processes, and elements of stochastic analysis and PDEs; some aquaintance with arbitrage pricing theory is also expected. A systematic exposition of mathematical techniques underlying the intensity-based approach is however provided.

Additional information

NLS9783642087073
9783642087073
3642087078
Credit Risk: Modeling, Valuation and Hedging by Tomasz R. Bielecki
Tomasz R. Bielecki
Springer Finance
New
Paperback
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
2010-12-05
501
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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Customer Reviews - Credit Risk: Modeling, Valuation and Hedging