Credit Risk

This master's-level introduction to mainstream credit risk modelling balances rigorous theory with real-world, post-credit crisis examples.

List of contents

Preface; 1. Structural models; 2. Hazard function model and no arbitrage; 3. Defaultable bond pricing with hazard function; 4. Security pricing with hazard function; 5. Hazard process model; 6. Security pricing with hazard process; Appendix; Selected literature; Index.

About the author

Marek Capiński is Professor of Applied Mathematics at AGH University of Science and Technology, Kraków. His research interests include mathematical finance, corporate finance, and hydrodynamics. He has been teaching for over 35 years, has held visiting fellowships in Poland and the UK, and has published over fifty research papers and nine books.Tomasz Zastawniak is Chair in Mathematical Finance at the University of York. His research interests include mathematical finance, stochastic analysis, stochastic optimisation and convex analysis, and mathematical physics. He has previously taught at numerous institutions in Poland, the USA, Canada, and the UK, and has published over fifty research publications and eight books.

Summary

This comprehensive and accessible introduction to modelling credit risk is tailored for master's students. It focuses on the two mainstream approaches, structural models and reduced form models, and on pricing selected credit risk derivatives. Balancing rigorous theory with financial intuition, it features detailed worked examples and exercises.

Product details

• Authors: Marek Capi¿ski, Marek Capinski, Marek (Agh University of Science and Tec Capinski, Marek (AGH University of Science and Technology Capinski, Marek Zastawniak Capinski, Marek Capiński, Tomasz Zastawniak, Tomasz (University of York) Zastawniak
• Publisher: Cambridge University Press ELT
• Languages: English
• Product format: Hardback
• Released: 24.11.2016
• EAN: 9781107002760
• ISBN: 978-1-107-00276-0
• No. of pages: 202
• Series: Mastering Mathematical Finance; Mastering Mathematical Finance
• Subjects: Natural sciences, medicine, IT, technology > Mathematics > Miscellaneous; Social sciences, law, business > Business > Business administration; BUSINESS & ECONOMICS / Finance / General, MATHEMATICS / Applied, Applied mathematics, Credit and credit institutions, Credit & Credit Institutions