[分享]Credit Risk: modeling, valuation, and hedging

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Title: Credit Risk: Modeling, Valuation, and Hedging

Author: Tomasz R. Bielecki and Marek Rutkowski

Publisher: Springer

Year: 2002

Pages: 497

Quality: Photocopy

TOC:

1. Introdcution to Credit Risk

2. Corporate Debt

3. First-Passage-Time Models

4. Hazard Function of a Random Time

5. Hazard Process of a Random Time

6. Martingale Hazard Process

7. Case of Several Random Times

8. Intensity-Based Valuation of Deaultable Claims

9. Conditionally Independent Defaults

10. Dependent Defaults

11. Markov Chains

12. Markovian Models of Credit Migrations

13. Heath-Jarrow-Morton Type Models

14. Defaultable Market Rates

15. Modeling of Market Rates

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2007-6-2 02:18:00 上传

[分享]Credit Risk: modeling, valuation, and hedging
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关键词：credit risk Valuation Modeling hedging Credit Modeling Credit Risk Valuation hedging