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The Resource Credit risk : modeling, valuation and hedging, Tomasz R. Bielecki, Marek Rutkowski
Credit risk : modeling, valuation and hedging, Tomasz R. Bielecki, Marek Rutkowski
Resource Information
The item Credit risk : modeling, valuation and hedging, Tomasz R. Bielecki, Marek Rutkowski represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in Boston University Libraries.This item is available to borrow from all library branches.
Resource Information
The item Credit risk : modeling, valuation and hedging, Tomasz R. Bielecki, Marek Rutkowski represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in Boston University Libraries.
This item is available to borrow from all library branches.
- Summary
- Studies the motivation for the mathematical modeling. This title deals with developments in credit risk research. It covers mathematical developments and gives the structural and reduced-form approaches to credit risk modeling. It includes a study of various arbitrage-free models of default term structures with several rating grades
- Language
- eng
- Extent
- xviii, 500 p.
- Contents
-
- pt. I. Structural Approach. 1. Introduction to Credit Risk. 2. Corporate Debt. 3. First-Passage-Time Models
- pt. II. Hazard Processes. 4. Hazard Function of a Random Time. 5. Hazard Process of a Random Time. 6. Martingale Hazard Process. 7. Case of Several Random Times
- pt. III. Reduced-Form Modeling. 8. Intensity-Based Valuation of Defaultable Claims. 9. Conditionally Independent Defaults. 10. Dependent Defaults. 11. Markov Chains. 12. Markovian Models of Credit Migrations. 13. Heath-Jarrow-Morton Type Models. 14. Defaultable Market Rates. 15. Modeling of Market Rates
- Isbn
- 9783540675938
- Label
- Credit risk : modeling, valuation and hedging
- Title
- Credit risk
- Title remainder
- modeling, valuation and hedging
- Statement of responsibility
- Tomasz R. Bielecki, Marek Rutkowski
- Subject
-
- Credit -- Mathematical models
- Credit -- Mathematical models
- Crédit -- Gestion
- Crédit -- Modèles mathématiques
- Gestion du risque -- Mathématiques
- Gestion du risque -- Modèles mathématiques
- Krediet
- Kreditgeschäft
- Kreditrisiko
- Mathématiques financières
- Modell
- Risicoanalyse
- Risikomanagement
- Risk management -- Mathematical models
- Risk management -- Mathematical models
- Wiskundige modellen
- arbitrage
- mathématique financière
- modélisation mathématique
- risque
- Couverture (finances)
- Language
- eng
- Summary
- Studies the motivation for the mathematical modeling. This title deals with developments in credit risk research. It covers mathematical developments and gives the structural and reduced-form approaches to credit risk modeling. It includes a study of various arbitrage-free models of default term structures with several rating grades
- Cataloging source
- DLC
- http://library.link/vocab/creatorDate
- 1955-
- http://library.link/vocab/creatorName
- Bielecki, Tomasz R.
- Index
- index present
- LC call number
- HG3701
- LC item number
- .B53 2002
- Literary form
- non fiction
- Nature of contents
- bibliography
- http://library.link/vocab/relatedWorkOrContributorDate
- 1952-
- http://library.link/vocab/relatedWorkOrContributorName
- Rutkowski, Marek
- http://library.link/vocab/subjectName
-
- Credit
- Risk management
- arbitrage
- modélisation mathématique
- risque
- mathématique financière
- Crédit
- Gestion du risque
- Krediet
- Risicoanalyse
- Wiskundige modellen
- Gestion du risque
- Couverture (finances)
- Mathématiques financières
- Crédit
- Modell
- Kreditgeschäft
- Kreditrisiko
- Risikomanagement
- Credit
- Risk management
- Label
- Credit risk : modeling, valuation and hedging, Tomasz R. Bielecki, Marek Rutkowski
- Bibliography note
- Includes bibliographical references (p. [479]-494) and index
- Carrier category
- volume
- Carrier category code
-
- nc
- Carrier MARC source
- rdacarrier
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- Contents
- pt. I. Structural Approach. 1. Introduction to Credit Risk. 2. Corporate Debt. 3. First-Passage-Time Models -- pt. II. Hazard Processes. 4. Hazard Function of a Random Time. 5. Hazard Process of a Random Time. 6. Martingale Hazard Process. 7. Case of Several Random Times -- pt. III. Reduced-Form Modeling. 8. Intensity-Based Valuation of Defaultable Claims. 9. Conditionally Independent Defaults. 10. Dependent Defaults. 11. Markov Chains. 12. Markovian Models of Credit Migrations. 13. Heath-Jarrow-Morton Type Models. 14. Defaultable Market Rates. 15. Modeling of Market Rates
- Dimensions
- 25 cm.
- Extent
- xviii, 500 p.
- Isbn
- 9783540675938
- Isbn Type
- (alk. paper)
- Lccn
- 2001055042
- Media category
- unmediated
- Media MARC source
- rdamedia
- Media type code
-
- n
- System control number
-
- (OCoLC)48475281
- (OCoLC)ocm48475281
- Label
- Credit risk : modeling, valuation and hedging, Tomasz R. Bielecki, Marek Rutkowski
- Bibliography note
- Includes bibliographical references (p. [479]-494) and index
- Carrier category
- volume
- Carrier category code
-
- nc
- Carrier MARC source
- rdacarrier
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- Contents
- pt. I. Structural Approach. 1. Introduction to Credit Risk. 2. Corporate Debt. 3. First-Passage-Time Models -- pt. II. Hazard Processes. 4. Hazard Function of a Random Time. 5. Hazard Process of a Random Time. 6. Martingale Hazard Process. 7. Case of Several Random Times -- pt. III. Reduced-Form Modeling. 8. Intensity-Based Valuation of Defaultable Claims. 9. Conditionally Independent Defaults. 10. Dependent Defaults. 11. Markov Chains. 12. Markovian Models of Credit Migrations. 13. Heath-Jarrow-Morton Type Models. 14. Defaultable Market Rates. 15. Modeling of Market Rates
- Dimensions
- 25 cm.
- Extent
- xviii, 500 p.
- Isbn
- 9783540675938
- Isbn Type
- (alk. paper)
- Lccn
- 2001055042
- Media category
- unmediated
- Media MARC source
- rdamedia
- Media type code
-
- n
- System control number
-
- (OCoLC)48475281
- (OCoLC)ocm48475281
Subject
- Credit -- Mathematical models
- Credit -- Mathematical models
- Crédit -- Gestion
- Crédit -- Modèles mathématiques
- Gestion du risque -- Mathématiques
- Gestion du risque -- Modèles mathématiques
- Krediet
- Kreditgeschäft
- Kreditrisiko
- Mathématiques financières
- Modell
- Risicoanalyse
- Risikomanagement
- Risk management -- Mathematical models
- Risk management -- Mathematical models
- Wiskundige modellen
- arbitrage
- mathématique financière
- modélisation mathématique
- risque
- Couverture (finances)
Member of
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.bu.edu/portal/Credit-risk--modeling-valuation-and-hedging/V8CSDA5tQX4/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.bu.edu/portal/Credit-risk--modeling-valuation-and-hedging/V8CSDA5tQX4/">Credit risk : modeling, valuation and hedging, Tomasz R. Bielecki, Marek Rutkowski</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.bu.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.bu.edu/">Boston University Libraries</a></span></span></span></span></div>
