Advanced Credit Risk Analysis
Financial Approaches and Mathematical Models to Assess, Price, and Manage Credit Risk
Didier Cossin author Hugues Pirotte author
Format:Hardback
Publisher:John Wiley & Sons Inc
Currently unavailable, and unfortunately no date known when it will be back
Advanced Credit Analysis presents the latest and most advanced modelling techniques in the theory and practice of credit risk pricing and management.
The book stresses the logic of theoretical models from the structural and the reduced-form kind, their applications and extensions. It shows the mathematical models that help determine optimal collateralisation and marking-to-market policies. It looks at modern credit risk management tools and the current structuring techniques available with credit derivatives.
"... an ambitious, well-researched book with probably the most comprehensive review of the credit-risk-modelling literature.... I eagerly await the next edition." (Quantitative Finance, March 2001)
ISBN: 9780471987239
Dimensions: 251mm x 175mm x 27mm
Weight: 822g
400 pages