Philipp J.Schonbucher – Credit Derivates Pricing Models

$9.97

Philipp J.Schonbucher - Credit Derivates Pricing Models

$9.97

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Philipp J.Schonbucher – Credit Derivates Pricing Models

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Description

Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue.

Table of Contents

Preface.

Acknowledgements.

Abbreviations.

Notation.

  1. Introduction.
  2. Credit Derivatives: Overview and Hedge-Based Pricing.
  3. Credit Spreads and Bond Price-Based Pricing.
  4. Mathematical Background.
  5. Advanced Credit Spread Models.
  6. Recovery Modelling.
  7. Implementation of Intensity-Based Models.
  8. Credit Rating Models.
  9. Firm Value and Share Price-Based Models.
  10. Models for Default Correlation.

Bibliography.

Index. 

Author Information

PHILIPP J. SCHÖNBUCHER is Assistant Professor for Risk Management in the Mathematics Department at ETH Zurich. He has been an active researcher in the areas of credit risk modelling and credit derivatives pricing for the past seven years. His contributions include models for the term structure of credit spreads and the dynamic copula-approach for portfolio credit risk. Through his activities in training and consulting on credit derivatives he has gained valuable insights into the usability, strengths and weaknesses of the different credit derivatives pricing models in a practical context.

Dr. Schönbucher holds a M.Sc. in mathematics from Oxford University, and diploma and a Ph.D in economics from Bonn University.