Title Credit risk valuation : methods, models, and applications / Manuel Ammann

Edition Second edition Published Berlin ; New York : Springer, [2001] ©2001

Copies

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

  Permalink