Credit Risk Modeling : : Theory and Applications / / David Lando.
Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers a...
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Superior document: | Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013 |
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Place / Publishing House: | Princeton, NJ : : Princeton University Press, , [2009] ©2004 |
Year of Publication: | 2009 |
Language: | English |
Series: | Princeton Series in Finance
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Online Access: | |
Physical Description: | 1 online resource (328 p.) :; 45 line illus. 30 tables. |
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LEADER | 07826nam a22018855i 4500 | ||
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001 | 9781400829194 | ||
003 | DE-B1597 | ||
005 | 20221201113901.0 | ||
006 | m|||||o||d|||||||| | ||
007 | cr || |||||||| | ||
008 | 221201t20092004nju fo d z eng d | ||
020 | |a 9781400829194 | ||
024 | 7 | |a 10.1515/9781400829194 |2 doi | |
035 | |a (DE-B1597)642792 | ||
040 | |a DE-B1597 |b eng |c DE-B1597 |e rda | ||
041 | 0 | |a eng | |
044 | |a nju |c US-NJ | ||
050 | 4 | |a HG3751.L36 2004 | |
072 | 7 | |a BUS069030 |2 bisacsh | |
082 | 0 | 4 | |a 332.7011 |
100 | 1 | |a Lando, David, |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
245 | 1 | 0 | |a Credit Risk Modeling : |b Theory and Applications / |c David Lando. |
264 | 1 | |a Princeton, NJ : |b Princeton University Press, |c [2009] | |
264 | 4 | |c ©2004 | |
300 | |a 1 online resource (328 p.) : |b 45 line illus. 30 tables. | ||
336 | |a text |b txt |2 rdacontent | ||
337 | |a computer |b c |2 rdamedia | ||
338 | |a online resource |b cr |2 rdacarrier | ||
347 | |a text file |b PDF |2 rda | ||
490 | 0 | |a Princeton Series in Finance | |
505 | 0 | 0 | |t Frontmatter -- |t Contents -- |t Preface -- |t 1 An Overview -- |t 2 Corporate Liabilities as Contingent Claims -- |t 3 Endogenous Default Boundaries and Optimal Capital Structure -- |t 4 Statistical Techniques for Analyzing Defaults -- |t 5 Intensity Modeling -- |t 6 Rating-Based Term-Structure Models -- |t 7 Credit Risk and Interest-Rate Swaps -- |t 8 Credit Default Swaps, CDOs, and Related Products -- |t 9 Modeling Dependent Defaults -- |t Appendix A Discrete-Time Implementation -- |t Appendix B Some Results Related to Brownian Motion -- |t Appendix C Markov Chains -- |t Appendix D Stochastic Calculus for Jump-Diffusions -- |t Appendix E A Term-Structure Workhorse -- |t References -- |t Index |
506 | 0 | |a restricted access |u http://purl.org/coar/access_right/c_16ec |f online access with authorization |2 star | |
520 | |a Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations. | ||
538 | |a Mode of access: Internet via World Wide Web. | ||
546 | |a In English. | ||
588 | 0 | |a Description based on online resource; title from PDF title page (publisher's Web site, viewed 01. Dez 2022) | |
650 | 7 | |a BUSINESS & ECONOMICS / Economics / Theory. |2 bisacsh | |
653 | |a Adapted process. | ||
653 | |a Arbitrage. | ||
653 | |a Asset Sales. | ||
653 | |a Asset. | ||
653 | |a Bankruptcy. | ||
653 | |a Barrier option. | ||
653 | |a Basis Point. | ||
653 | |a Binomial approximation. | ||
653 | |a Binomial distribution. | ||
653 | |a Bond (finance). | ||
653 | |a Bond Yield. | ||
653 | |a Bond valuation. | ||
653 | |a Calculation. | ||
653 | |a Call option. | ||
653 | |a Capital structure. | ||
653 | |a Comparative advantage. | ||
653 | |a Convenience yield. | ||
653 | |a Coupon (bond). | ||
653 | |a Coupon. | ||
653 | |a Credit (finance). | ||
653 | |a Credit default swap. | ||
653 | |a Credit derivative. | ||
653 | |a Credit rating. | ||
653 | |a Credit risk. | ||
653 | |a Credit spread (options). | ||
653 | |a Cumulative Dividend. | ||
653 | |a Current liability. | ||
653 | |a Debt Issue. | ||
653 | |a Debt. | ||
653 | |a Discount function. | ||
653 | |a Discrete time and continuous time. | ||
653 | |a Dividend payout ratio. | ||
653 | |a Dividend. | ||
653 | |a Equity value. | ||
653 | |a Equivalent Martingale Measures. | ||
653 | |a Estimation. | ||
653 | |a Estimator. | ||
653 | |a Exponential distribution. | ||
653 | |a Fair value. | ||
653 | |a Geometric Brownian motion. | ||
653 | |a Government bond. | ||
653 | |a High-yield debt. | ||
653 | |a Implicit cost. | ||
653 | |a Implied volatility. | ||
653 | |a Information asymmetry. | ||
653 | |a Interest rate swap. | ||
653 | |a Interest rate. | ||
653 | |a Issuer. | ||
653 | |a Jump process. | ||
653 | |a Latent variable. | ||
653 | |a Least squares. | ||
653 | |a Leverage (finance). | ||
653 | |a Liability (financial accounting). | ||
653 | |a Libor. | ||
653 | |a Logistic regression. | ||
653 | |a Market liquidity. | ||
653 | |a Market value. | ||
653 | |a Markov chain. | ||
653 | |a Markov model. | ||
653 | |a Mathematical finance. | ||
653 | |a Merton Model. | ||
653 | |a Moment-generating function. | ||
653 | |a Money market. | ||
653 | |a Option (finance). | ||
653 | |a Par Yield Curve. | ||
653 | |a Path dependence. | ||
653 | |a Payment. | ||
653 | |a Plain vanilla. | ||
653 | |a Predictable process. | ||
653 | |a Present value. | ||
653 | |a Pricing. | ||
653 | |a Probability of default. | ||
653 | |a Probability. | ||
653 | |a Put option. | ||
653 | |a Random variable. | ||
653 | |a Recapitalization. | ||
653 | |a Repurchase agreement. | ||
653 | |a Risk management. | ||
653 | |a Risk premium. | ||
653 | |a Risk-neutral measure. | ||
653 | |a Semimartingale. | ||
653 | |a Short rate. | ||
653 | |a State variable. | ||
653 | |a Swap (finance). | ||
653 | |a Swap Curve. | ||
653 | |a Swap rate. | ||
653 | |a Swap spread. | ||
653 | |a Synthetic CDO. | ||
653 | |a Tax advantage. | ||
653 | |a Tax shield. | ||
653 | |a Tax. | ||
653 | |a Trading strategy. | ||
653 | |a Tranche. | ||
653 | |a Underlying Security. | ||
653 | |a Value (economics). | ||
653 | |a Variance. | ||
653 | |a Vasicek model. | ||
653 | |a Yield curve. | ||
653 | |a Yield spread. | ||
653 | |a Zero-coupon bond. | ||
773 | 0 | 8 | |i Title is part of eBook package: |d De Gruyter |t Princeton University Press eBook-Package Backlist 2000-2013 |z 9783110442502 |
856 | 4 | 0 | |u https://doi.org/10.1515/9781400829194?locatt=mode:legacy |
856 | 4 | 0 | |u https://www.degruyter.com/isbn/9781400829194 |
856 | 4 | 2 | |3 Cover |u https://www.degruyter.com/document/cover/isbn/9781400829194/original |
912 | |a 978-3-11-044250-2 Princeton University Press eBook-Package Backlist 2000-2013 |c 2000 |d 2013 | ||
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