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Advanced credit risk analysis : financial approaches and mathematical models to assess, price, and manage credit risk

Author: Didier Cossin; Hughes Pirotte
Publisher: New York : John Wiley & Sons, ©2001.
Series: Wiley series in financial engineering.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

Advanced Credit Analysis presents the latest and most advanced modelling techniques in the theory and practice of credit risk pricing and management. The book stresses the logic of theoretical  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Didier Cossin; Hughes Pirotte
ISBN: 0471987239 9780471987239
OCLC Number: 42961339
Description: xiii, 357 pages : illustrations ; 25 cm.
Contents: 1. Introduction --
pt. 1. Credit Risk Pricing. 2. Introduction to modern credit risk pricing. 3. Merton's approach: the intuition behind structural models. 4. Subsequent financial engineering. 5. Stochastic interest rates and credit risk. 6. Advanced considerations on bankruptcy endogeneity. 7. Reduced-form/mixed approaches --
pt. 2. Credit Risk of Derivatives. 8. Swap credit risk pricing. 9. Credit risk in options: Vulnerable options --
pt. 3. Theoretical Wrap-up and Empirical Evidence. 10. Introduction. 11. Literature wrap-up. 12. Empirical evidence --
pt. 4. A Proposition for a Structural Model. 13. Introduction. 14. The pricing model. 15. Comparative statics. 16. The practical implementation and final issues --
pt. 5. Collateralization, Marking-to-market, and their Impact on Credit Risk. 17. Introduction. 18. A structural methodology for haircut determination and the pricing of credit risk with risky collateral. 19. Credit risk collateral control as an impulse control problem --
pt. 6. Management of Credit Risk. 20. Advanced management tools. 21. Financial structuring with credit derivatives --
pt. 7. Appendices. 22. Ito's lemma. 23. A review of interest rate models. 24. General Bibliography.
Series Title: Wiley series in financial engineering.
Responsibility: Didier Cossin and Hughes Pirotte.
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" an ambitious, well--researched book with probably the most comprehensive review of the credit--risk--modelling literature...I eagerly await the next edition" (Quantitative Finance, March 2001)

 
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