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Pricing credit linked financial instruments : theory and empirical evidence

Author: Bernd Schmid
Publisher: Berlin ; New York : Springer, ©2002.
Series: Lecture notes in economics and mathematical systems, 516.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Bernd Schmid
ISBN: 3540431950 9783540431954
OCLC Number: 49229033
Description: x, 246 pages : illustrations ; 24 cm.
Contents: 1. Introduction --
2. Modelling Credit Risk --
Definition and Elements of Credit Risk --
Modelling Transition and Default Probabilities --
Modelling Recovery Rates --
3. Pricing Credit Linked Financial Instruments --
The Three-Factor Model --
The Pricing of Defaultable Fixed and Floating Rate Debt --
The Pricing of Credit Derivatives --
A Discrete-Time Version of the Three-Factor Model --
Fitting the Model to Market Data --
Portfolio Optimization under Credit Risk --
A. S&P's Definition of Default --
B. Technical Proofs --
C. Pricing of Credit Derivatives: Extensions.
Series Title: Lecture notes in economics and mathematical systems, 516.
Responsibility: Bernd Schmid.

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