The Resource Credit risk : modeling, valuation and hedging, Tomasz R. Bielecki, Marek Rutkowski

Credit risk : modeling, valuation and hedging, Tomasz R. Bielecki, Marek Rutkowski

Label
Credit risk : modeling, valuation and hedging
Title
Credit risk
Title remainder
modeling, valuation and hedging
Statement of responsibility
Tomasz R. Bielecki, Marek Rutkowski
Creator
Contributor
Subject
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
Member of
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
Instantiates
Publication
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
Publication
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

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