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Book Cover
Author Ammann, Manuel, 1970-

Title Credit risk valuation : methods, models, and applications / Manuel Ammann
Edition Second edition
Published Berlin ; New York : Springer, [2001]


Location Call no. Vol. Availability
 MELB  332.632 Amm/Crv  AVAILABLE
Description x, 255 pages : illustrations ; 25 cm
Series Springer finance
Springer finance.
Contents Machine derived contents note: Introduction.- Contingent Claim Valuation.- Credit Risk Models.- A Firm Value Pricing Model for Derivatives with Counterparty Default Risk.- A Hybrid Pricing Model for Contingent Claims with Credit Risk.- Pricing Credit Derivatives.- Conclusion.- Useful Tools from Martingale Theory.- References.- List of Figures.- List of Tables.- Index
Notes "Originally published as volume 470 in the series Lecture notes in economics and mathematical systems with the title Pricing derivative credit risk"--Verso t.p
Bibliography Includes bibliographical references (pages [237]-246) and index
Subject Credit ratings.
Credit -- Management.
Risk management.
Author Ammann, Manuel, 1970- Pricing derivative credit risk
LC no. 2001042032
ISBN 3540678050 alkaline paper