信用风险估值与对冲

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

208736.pdf (568.81 KB, 需要: 25 个论坛币)

2008-4-28 09:30:00 上传

信用风险估值与对冲
需要: 25 个论坛币  [购买]

CREDITRISK:MODELLING,VALUATION
ANDHEDGING
MarekRutkowski
FacultyofMathematicsandInformationScience
WarsawUniversityofTechnology
00-661Warszawa,Poland
markrut@mini.pw.edu.pl
1.VALUE-OF-THE-FIRMAPPROACH
2.INTENSITY-BASEDAPPROACH
3.MODELLINGOFDEPENDENTDEFAULTS
4.CREDITRATINGSANDMIGRATIONS
WinterSchoolonFinancialMathematics2002
OudPoelgeest,December16-18,2002

VALUE-OF-THE-FIRMAPPROACH
1BasicAssumptions
1.1DefaultableClaims
1.1.1ProbabilitiesPandP
1.1.2DefaultTime
1.1.3RecoveryRules
1.2Risk-NeutralValuationFormula
1.3CorporateZero-CouponBond
2ClassicModels
2.1MertonΓfisMode
2.1.1MertonΓfisFormul
2.1.2CreditSpreads
2.2BlackandCoxModel
2.2.1CorporateZero-CouponBond
2.2.2BondValuation
2.2.3BlackandCoxFormula
2.2.4OptimalCapitalStructure
3StochasticInterestRates
4HybridModels

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏1 回帖

关键词：信用风险 mathematics information Assumptions Mathematic 风险 信用 对冲