Credit risk / Marek Capinski, Tomasz Zastawniak.
By: Capiński, Marek [author.].
Contributor(s): Zastawniak, Tomasz [author.].
Material type:
BookSeries: Mastering mathematical finance: Publisher: Cambridge, United Kingdom ; New York, NY : Cambridge University Press, 2017.Description: vii, 194 p. ; 23 cm.Content type: text Media type: unmediated Carrier type: volumeISBN: 9780521175753 (paperback); 1107002761 (hardcover); 9781107002760 (hardcover); 0521175755 (paperback).Subject(s): Credit -- Management | Risk assessment -- Mathematical models | Credit -- Mathematical models | Risk management | Risk management -- Mathematical models | Credit control | Business mathematics | Business mathematics | Credit -- Management -- Mathematical models | Risk assessment -- Mathematical modelsDDC classification: 332.7015118 Summary: Modelling credit risk accurately is central to the practice of mathematical finance. This volume of the Mastering Mathematical Finance series offers a comprehensive and accessible introduction to the subject tailored specially for master's students. 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 real-world examples from the post-credit crisis financial markets, it takes readers through a natural development of mathematical ideas and financial intuition. Students, practitioners and researchers alike will benefit from the compact presentation and detailed worked examples, exercises and solutions.
| Item type | Current location | Call number | Copy number | Status | Date due |
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Indian Institute of Management Udaipur A6/5 | 332.7015118 (Browse shelf) | 1 | Available |
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Includes bibliographical references and index.
Modelling credit risk accurately is central to the practice of mathematical finance. This volume of the Mastering Mathematical Finance series offers a comprehensive and accessible introduction to the subject tailored specially for master's students. 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 real-world examples from the post-credit crisis financial markets, it takes readers through a natural development of mathematical ideas and financial intuition. Students, practitioners and researchers alike will benefit from the compact presentation and detailed worked examples, exercises and solutions.
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