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Credit Risk

Capinski, Marek (AGH University of Science and Technology, Krakow), Zastawniak, Tomasz (University of York)

Part of the Mastering Mathematical Finance series

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Modelling credit risk accurately is central to the practice of mathematical finance.

The majority of available texts are aimed at an advanced level, and are more suitable for PhD students and researchers.

This volume of the Mastering Mathematical Finance series addresses the need for a course intended for master's students, final-year undergraduates, and practitioners.

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 examples, it takes readers through a natural development of mathematical ideas and financial intuition.

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Product Details

Publisher/Imprint Cambridge University Press

ISBN/Ean0521175755 / 9780521175753

FormatPaperback / softback

Dewey519

Published14/11/2016

Country of PubUnited Kingdom

Pages201 pages, 6 Line drawings, black and white

Dimensions152 x 227 mm, 330 grams

ReadershipProfessional & Vocational/Tertiary Education (US: College) Learn More

BIC KFFL Credit & credit institutions, PBW Applied mathematics