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Synopsis
This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single firm credit risk, modeling portfolio credit risk and credit risk pricing. First we analyze these questions under the assumptions that firm value follows a geometric Brownian motion and the interest rates are constant. We discuss the weaknesses of the geometric Brownian motion assumption in explaining empirical properties of real data. Then we propose a new extended model in which asset value, volatility and interest rates follow affine jump diffusion processes. In our extended model volatility is stochastic, asset value and volatility has correlated jumps and interest rates are stochastic and have jumps. Finally, we analyze the modeling of single firm credit risk and credit risk pricing by using our extended model and show how our model can be used as a solution for the problems we encounter with simple models.
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About the Author
Ayhan Yuksel is a banking regulator at Banking Regulation and Supervision Agency, Turkey, where he mainly involved in projects related to risk management and Basel-II. He holds FRM and PRM certificates, has MSc degrees in financial mathematics (METU) and statistics (Warwick), and is currently a PhD candidate in financial mathematics (METU).
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Credit Risk Modeling
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LAP LAMBERT Academic Publishing Jul 2010, 2010
ISBN 10: 3838381319
ISBN 13: 9783838381312
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Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single firm credit risk, modeling portfolio credit risk and credit risk pricing. First we analyze these questions under the assumptions that firm value follows a geometric Brownian motion and the interest rates are constant. We discuss the weaknesses of the geometric Brownian motion assumption in explaining empirical properties of real data. Then we propose a new extended model in which asset value, volatility and interest rates follow affine jump diffusion processes. In our extended model volatility is stochastic, asset value and volatility has correlated jumps and interest rates are stochastic and have jumps. Finally, we analyze the modeling of single firm credit risk and credit risk pricing by using our extended model and show how our model can be used as a solution for the problems we encounter with simple models. 164 pp. Englisch. Seller Inventory # 9783838381312
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Credit Risk Modeling : With Stochastic Volatility, Jumps and Stochastic Interest Rates
Published by
LAP LAMBERT Academic Publishing, 2010
ISBN 10: 3838381319
ISBN 13: 9783838381312
New
Taschenbuch
Seller: AHA-BUCH GmbH, Einbeck, Germany
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Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single firm credit risk, modeling portfolio credit risk and credit risk pricing. First we analyze these questions under the assumptions that firm value follows a geometric Brownian motion and the interest rates are constant. We discuss the weaknesses of the geometric Brownian motion assumption in explaining empirical properties of real data. Then we propose a new extended model in which asset value, volatility and interest rates follow affine jump diffusion processes. In our extended model volatility is stochastic, asset value and volatility has correlated jumps and interest rates are stochastic and have jumps. Finally, we analyze the modeling of single firm credit risk and credit risk pricing by using our extended model and show how our model can be used as a solution for the problems we encounter with simple models. Seller Inventory # 9783838381312
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Credit Risk Modeling
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ISBN 10: 3838381319
ISBN 13: 9783838381312
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Kartoniert / Broschiert. Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Yuksel AyhanAyhan Yuksel is a banking regulator at Banking Regulation and Supervision Agency, Turkey, where he mainly involved in projects related to risk management and Basel-II. He holds FRM and PRM certificates, has MSc degrees i. Seller Inventory # 5418399
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Credit Risk Modeling | With Stochastic Volatility, Jumps and Stochastic Interest Rates
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LAP LAMBERT Academic Publishing, 2012
ISBN 10: 3838381319
ISBN 13: 9783838381312
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Seller: preigu, Osnabrück, Germany
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Taschenbuch. Condition: Neu. Credit Risk Modeling | With Stochastic Volatility, Jumps and Stochastic Interest Rates | Ayhan Yuksel | Taschenbuch | 164 S. | Englisch | 2012 | LAP LAMBERT Academic Publishing | EAN 9783838381312 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu. Seller Inventory # 107439575
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Credit Risk Modeling
Published by
LAP LAMBERT Academic Publishing Jul 2010, 2010
ISBN 10: 3838381319
ISBN 13: 9783838381312
New
Taschenbuch
Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germany
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Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single firm credit risk, modeling portfolio credit risk and credit risk pricing. First we analyze these questions under the assumptions that firm value follows a geometric Brownian motion and the interest rates are constant. We discuss the weaknesses of the geometric Brownian motion assumption in explaining empirical properties of real data. Then we propose a new extended model in which asset value, volatility and interest rates follow affine jump diffusion processes. In our extended model volatility is stochastic, asset value and volatility has correlated jumps and interest rates are stochastic and have jumps. Finally, we analyze the modeling of single firm credit risk and credit risk pricing by using our extended model and show how our model can be used as a solution for the problems we encounter with simple models.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 164 pp. Englisch. Seller Inventory # 9783838381312
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