Credit Risk Modeling : : Theory and Applications /

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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Bibliographic Details
Superior document:Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013
VerfasserIn:
Lando, David,
Place / Publishing House:Princeton, NJ : : Princeton University Press, , [2009]
©2004
Year of Publication:2009
Language:English
Series:Princeton Series in Finance
Online Access:
Physical Description:1 online resource (328 p.) :; 45 line illus. 30 tables.
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Table of Contents:
  • Frontmatter
  • Contents
  • Preface
  • 1 An Overview
  • 2 Corporate Liabilities as Contingent Claims
  • 3 Endogenous Default Boundaries and Optimal Capital Structure
  • 4 Statistical Techniques for Analyzing Defaults
  • 5 Intensity Modeling
  • 6 Rating-Based Term-Structure Models
  • 7 Credit Risk and Interest-Rate Swaps
  • 8 Credit Default Swaps, CDOs, and Related Products
  • 9 Modeling Dependent Defaults
  • Appendix A Discrete-Time Implementation
  • Appendix B Some Results Related to Brownian Motion
  • Appendix C Markov Chains
  • Appendix D Stochastic Calculus for Jump-Diffusions
  • Appendix E A Term-Structure Workhorse
  • References
  • Index

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