Credit Risk Modeling Valuation And Hedging
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Credit Risk Modeling Valuation And Hedging
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Author : Tomasz R. Bielecki
language : en
Publisher: Springer Science & Business Media
Release Date : 2004-01-22
Credit Risk Modeling Valuation And Hedging written by Tomasz R. Bielecki and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-01-22 with Business & Economics categories.
The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.
Credit Risk
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Author :
language : en
Publisher:
Release Date : 2004
Credit Risk written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Credit Risk Modeling Valuation And Hedging
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Author : Tomasz R. Bielecki
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-14
Credit Risk Modeling Valuation And Hedging written by Tomasz R. Bielecki and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-14 with Business & Economics categories.
Mathematical finance and financial engineering have been rapidly expanding fields of science over the past three decades. The main reason behind this phenomenon has been the success of sophisticated quantitative methodolo gies in helping professionals manage financial risks. It is expected that the newly developed credit derivatives industry will also benefit from the use of advanced mathematics. This industry has grown around the need to handle credit risk, which is one of the fundamental factors of financial risk. In recent years, we have witnessed a tremendous acceleration in research efforts aimed at better comprehending, modeling and hedging this kind of risk. Although in the first chapter we provide a brief overview of issues related to credit risk, our goal was to introduce the basic concepts and related no tation, rather than to describe the financial and economical aspects of this important sector of financial market. The interested reader may consult, for instance, Francis et al. (1999) or Nelken (1999) for a much more exhaustive description of the credit derivatives industry.
Modelling Pricing And Hedging Counterparty Credit Exposure
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Author : Giovanni Cesari
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-12-06
Modelling Pricing And Hedging Counterparty Credit Exposure written by Giovanni Cesari and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-12-06 with Business & Economics categories.
It was the end of 2005 when our employer, a major European Investment Bank, gave our team the mandate to compute in an accurate way the counterparty credit exposure arising from exotic derivatives traded by the ?rm. As often happens, - posure of products such as, for example, exotic interest-rate, or credit derivatives were modelled under conservative assumptions and credit of?cers were struggling to assess the real risk. We started with a few models written on spreadsheets, t- lored to very speci?c instruments, and soon it became clear that a more systematic approach was needed. So we wrote some tools that could be used for some classes of relatively simple products. A couple of years later we are now in the process of building a system that will be used to trade and hedge counterparty credit ex- sure in an accurate way, for all types of derivative products in all asset classes. We had to overcome problems ranging from modelling in a consistent manner different products booked in different systems and building the appropriate architecture that would allow the computation and pricing of credit exposure for all types of pr- ucts, to ?nding the appropriate management structure across Business, Risk, and IT divisions of the ?rm. In this book we describe some of our experience in modelling counterparty credit exposure, computing credit valuation adjustments, determining appropriate hedges, and building a reliable system.
Credit Risk
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Author : Niklas Wagner
language : en
Publisher: CRC Press
Release Date : 2008-05-28
Credit Risk written by Niklas Wagner and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-05-28 with Business & Economics categories.
Featuring contributions from leading international academics and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results. Divided into six sectio
Interest Rate Risk Modeling
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Author : Sanjay K. Nawalkha
language : en
Publisher: John Wiley & Sons
Release Date : 2005-05-31
Interest Rate Risk Modeling written by Sanjay K. Nawalkha and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-05-31 with Business & Economics categories.
The definitive guide to fixed income valuation and risk analysis The Trilogy in Fixed Income Valuation and Risk Analysis comprehensively covers the most definitive work on interest rate risk, term structure analysis, and credit risk. The first book on interest rate risk modeling examines virtually every well-known IRR model used for pricing and risk analysis of various fixed income securities and their derivatives. The companion CD-ROM contain numerous formulas and programming tools that allow readers to better model risk and value fixed income securities. This comprehensive resource provides readers with the hands-on information and software needed to succeed in this financial arena.
Introduction To Credit Risk Modeling
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Author : Christian Bluhm
language : en
Publisher: CRC Press
Release Date : 2016-04-19
Introduction To Credit Risk Modeling written by Christian Bluhm and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-19 with Business & Economics categories.
Contains Nearly 100 Pages of New MaterialThe recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model credit portfolios, Introduction to Credit Risk Modelin
Counterparty Credit Risk Modelling
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Author : Michael Pykhtin
language : en
Publisher: Riskbooks
Release Date : 2005-01
Counterparty Credit Risk Modelling written by Michael Pykhtin and has been published by Riskbooks this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-01 with Capital market categories.
To enhance your understanding of the risk management, pricing and regulation of counterparty credit risk, this new title offers the most detailed and comprehensive coverage available. Michael Pykhtin, a globally respected expert in credit risk, has combed the industry's most important organisations to assemble a winning team of specialist contributors - presenting you with the definitive insider view.
Credit Risk
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Author : Darrell Duffie
language : en
Publisher: Princeton University Press
Release Date : 2012-01-12
Credit Risk written by Darrell Duffie and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-01-12 with Business & Economics categories.
In this book, two of America's leading economists provide the first integrated treatment of the conceptual, practical, and empirical foundations for credit risk pricing and risk measurement. Masterfully applying theory to practice, Darrell Duffie and Kenneth Singleton model credit risk for the purpose of measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk. The methodological rigor, scope, and sophistication of their state-of-the-art account is unparalleled, and its singularly in-depth treatment of pricing and credit derivatives further illuminates a problem that has drawn much attention in an era when financial institutions the world over are revising their credit management strategies. Duffie and Singleton offer critical assessments of alternative approaches to credit-risk modeling, while highlighting the strengths and weaknesses of current practice. Their approach blends in-depth discussions of the conceptual foundations of modeling with extensive analyses of the empirical properties of such credit-related time series as default probabilities, recoveries, ratings transitions, and yield spreads. Both the "structura" and "reduced-form" approaches to pricing defaultable securities are presented, and their comparative fits to historical data are assessed. The authors also provide a comprehensive treatment of the pricing of credit derivatives, including credit swaps, collateralized debt obligations, credit guarantees, lines of credit, and spread options. Not least, they describe certain enhancements to current pricing and management practices that, they argue, will better position financial institutions for future changes in the financial markets. Credit Risk is an indispensable resource for risk managers, traders or regulators dealing with financial products with a significant credit risk component, as well as for academic researchers and students.
Correlation Risk Modeling And Management
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Author : Gunter Meissner
language : en
Publisher: John Wiley & Sons
Release Date : 2013-12-19
Correlation Risk Modeling And Management written by Gunter Meissner and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-19 with Business & Economics categories.
A thorough guide to correlation risk and its growing importance in global financial markets Ideal for anyone studying for CFA, PRMIA, CAIA, or other certifications, Correlation Risk Modeling and Management is the first rigorous guide to the topic of correlation risk. A relatively overlooked type of risk until it caused major unexpected losses during the financial crisis of 2007 through 2009, correlation risk has become a major focus of the risk management departments in major financial institutions, particularly since Basel III specifically addressed correlation risk with new regulations. This offers a rigorous explanation of the topic, revealing new and updated approaches to modelling and risk managing correlation risk. Offers comprehensive coverage of a topic of increasing importance in the financial world Includes the Basel III correlation framework Features interactive models in Excel/VBA, an accompanying website with further materials, and problems and questions at the end of each chapter