Marek Capi¿ski, Tomasz Zastawniak

Credit Risk

• Gebundenes Buch

Produktbeschreibung

This master's-level introduction to mainstream credit risk modelling balances rigorous theory with real-world, post-credit crisis examples.

Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 204
• Erscheinungstermin: 16. Juni 2017
• Englisch
• Abmessung: 235mm x 157mm x 16mm
• Gewicht: 456g
• ISBN-13: 9781107002760
• ISBN-10: 1107002761
• Artikelnr.: 47076003

Autorenporträt

Marek Capi¿ski is Professor of Applied Mathematics at AGH University of Science and Technology, Kraków. His research interests include mathematical finance, corporate finance, and hydrodynamics. He has been teaching for over 35 years, has held visiting fellowships in Poland and the UK, and has published over fifty research papers and nine books.

Inhaltsangabe

Preface
1. Structural models
2. Hazard function model and no arbitrage
3. Defaultable bond pricing with hazard function
4. Security pricing with hazard function
5. Hazard process model
6. Security pricing with hazard process
Appendix
Selected literature
Index.