Credit Risk Pricing Models

En savoir plus sur le livre

This comprehensive edition expands on the author's previous work, offering an in-depth exploration of credit risk models and their applications. It covers essential topics such as credit risk factors, default probability, recovery rate modeling, and correlation issues. The text addresses a variety of financial instruments, including defaultable bonds, swaps, and multi-counterparty derivatives like index and basket default swaps. The author expresses gratitude for the support received during the project and acknowledges the valuable feedback from readers of the first edition.