This volume illustrates how a risk management system can be implemented through an understanding of portfolio credit risks, a set of suitable models, and the derivation of reliable empirical results. It focuses on the application of new products in the financial services industry and the growing market of credit derivatives. INDICE: Preface. A View on Credit Derivatives.Credit Risk, Spreads, and Spread Determinants.Credit Risk Modeling and Pricing.Default Risk, Recovery Risk, and Rating.Credit Risk Dependence and Dependent Defaults.Options, Portfolios, and Pricing Loss Distribution Tranches. Index.
- ISBN: 978-1-58488-994-6
- Editorial: Chapman & Hall/CRC Statistics and Mathematics
- Encuadernacion: Rústica
- Páginas: 600
- Fecha Publicación: 01/06/2008
- Nº Volúmenes: 1
- Idioma: Inglés