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This book offers an advanced introduction to models of credit risk valuation concentrating on firm-value and reduced-form approaches and their application. The book provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multivariate trees used to price derivative credit risk.
TITLE: Credit Risk Valuation
AUTHOR: Manuel Ammann
SKU: 9783540678052
PUBLISHER: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
DATE PUBLISHED: 22/06/2001
PLACE PUBLISHED: Germany
PAGES: 255
BINDING: Hardback
LANGUAGE: English
DIMENSIONS: 156 mm x 234 mm
WEIGHT: 1220 gr
