CREDIT RISK MODELING by David Lando ( 9780691089294 ) - Books & Audio Books at Pickabook.co.uk

Item Details

Title:

CREDIT RISK MODELING
THEORY AND APPLICATIONS

By:

David Lando

Format:

Hardback

List price:

£109.00

Our price:

£87.20

Discount:

20% off

You save:

£21.80

ISBN 10:

0691089299

ISBN 13:

9780691089294

Availability:

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Stock:

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Publisher:

PRINCETON UNIVERSITY PRESS

Pub. date:

1 June, 2004

Series:

Princeton Series in Finance

Pages:

328

Synopsis:

Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.

Illustrations:

45 line illus. 30 tables.

Publication:

Imprint:

Princeton University Press

Returns:

Returnable

Some other items by this author:

CREDIT RISK MODELING

CREDIT RISK MODELING (PB)

CREDIT RISK MODELING THEORY AND APPLICATIONS (PB)