Introduction to credit risk modeling
"Preface Second Edition The first edition of this book appeared eight years ago. Since then the banking industry experienced a lot of change and challenges. The most recent financial crisis which started around May 2007 and lasted in its core period until early 2009 gave rise for a lot of scept...
| Main Authors: | , , |
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| Format: | Book |
| Language: | English |
| Published: |
Boca Raton, Forida :
Chapman & Hall/CRC ,
c2010
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| Edition: | 2nd ed |
| Series: | Chapman & Hall/CRC financial mathematics series
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| Subjects: |
Table of Contents:
- 1. The basics of credit risk management
- 2. Modeling correlated defaults
- 3. Asset value models
- 4. The credit risk+ model
- 5. Risk measures and capital allocation
- 6. Term structure of default probability
- 7. Credit derivatives
- 8. Collateralized debt obligations