Credit Risk: Modeling, Valuation and Hedging

Tomasz R. Bielecki, Marek Rutkowski

ISBN 10: 3540675930 / ISBN 13: 9783540675938

Published by Springer-Verlag Berlin and Heidelberg GmbH and Co. KG, DE, 2001

About this Item

This book will be an important reference for practitioners involved with managing portfolios sensitive to credit risk. Graduate students and researchers in mathematical finance, financial engineering, finance and probability will also benefit from the book.

Seller Inventory # LU-9783540675938

Bibliographic Details

• Title: Credit Risk: Modeling, Valuation and Hedging
• Publisher: Springer-Verlag Berlin and Heidelberg GmbH and Co. KG, DE
• Publication Date: 2001
• Language: English
• ISBN 10: 3540675930
• ISBN 13: 9783540675938
• Binding: Hardback
• Edition: 1st ed. 2002. Corr. 2nd printing 2004.
• Condition: New
• Dimensions: 16.46W x 3.38H x 23.93D centimeters 16.46 centimeters width by 3.38 centimeters height by 23.93 centimeters depth

About this title

Synopsis

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.

About the Author

 

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