Credit Risk

Nonfiction, Science & Nature, Mathematics, Applied, Business & Finance
Cover of the book Credit Risk by Marek Capiński, Tomasz Zastawniak, Cambridge University Press
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Author: Marek Capiński, Tomasz Zastawniak ISBN: 9781316861578
Publisher: Cambridge University Press Publication: November 14, 2016
Imprint: Cambridge University Press Language: English
Author: Marek Capiński, Tomasz Zastawniak
ISBN: 9781316861578
Publisher: Cambridge University Press
Publication: November 14, 2016
Imprint: Cambridge University Press
Language: English

Modelling credit risk accurately is central to the practice of mathematical finance. The majority of available texts are aimed at an advanced level, and are more suitable for PhD students and researchers. This volume of the Mastering Mathematical Finance series addresses the need for a course intended for master's students, final-year undergraduates, and practitioners. The book focuses on the two mainstream modelling approaches to credit risk, namely structural models and reduced-form models, and on pricing selected credit risk derivatives. Balancing rigorous theory with examples, it takes readers through a natural development of mathematical ideas and financial intuition.

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Modelling credit risk accurately is central to the practice of mathematical finance. The majority of available texts are aimed at an advanced level, and are more suitable for PhD students and researchers. This volume of the Mastering Mathematical Finance series addresses the need for a course intended for master's students, final-year undergraduates, and practitioners. The book focuses on the two mainstream modelling approaches to credit risk, namely structural models and reduced-form models, and on pricing selected credit risk derivatives. Balancing rigorous theory with examples, it takes readers through a natural development of mathematical ideas and financial intuition.

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