Credit Risk Modelling-Marek Rutkowski   [推广有奖]

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Credit Risk Modelling-Marek Rutkowski

Contents
1 Hazard Function of a Random Time 3
2 Hazard Process of a Random Time 19
3 Poisson Process and Conditional Poisson Process 27
4 Defaultable Claims 37
5 Merton’s (1974) Model of Corporate Debt 43
6 Zhou’s (1996) Model 49
7 Properties of First Passage Times 53
8 Black and Cox (1976) Model 62
9 Black and Cox Model with Random Interest Rates 70
10 Intensity-Based Valuation of Defaultable Claims 78
11 Various Recovery Schemes 88
Textbook: Tomasz Bielecki and Marek Rutkowski: Credit Risk: Modeling, Valuation and Hedging.
Springer-Verlag, Berlin Heidelberg New York, 2002.