Credit Derivatives Pricing Models: Models, Pricing and ImplementationISBN: 978-0-470-84291-1
Hardcover
384 pages
June 2003
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The credit derivatives market is booming and, for the first time,
expanding into the banking sector which previously has had very
little exposure to quantitative modeling. This phenomenon has
forced a large number of professionals to confront this issue for
the first time. Credit Derivatives Pricing Models provides
an extremely comprehensive overview of the most current areas in
credit risk modeling as applied to the pricing of credit
derivatives. As one of the first books to uniquely focus on
pricing, this title is also an excellent complement to other books
on the application of credit derivatives. Based on proven
techniques that have been tested time and again, this comprehensive
resource provides readers with the knowledge and guidance to
effectively use credit derivatives pricing models. Filled with
relevant examples that are applied to real-world pricing problems,
Credit Derivatives Pricing Models paves a clear path for a
better understanding of this complex issue.
Dr. Philipp J. Schönbucher is a professor at the Swiss Federal
Institute of Technology (ETH), Zurich, and has degrees in
mathematics from Oxford University and a PhD in economics from Bonn
University. He has taught various training courses organized by ICM
and CIFT, and lectured at risk conferences for practitioners on
credit derivatives pricing, credit risk modeling, and
implementation.