Item description for Pricing Credit Linked Financial Instruments by Bernd Schmid...
Credit risk is one of the oldest forms of risk in the financial markets, and still revolutionary changes and developments are taking place in the credit markets today. This work contributes to the efforts of academics and practitioners to explain credit markets, price default related financial instruments such as defaultable fixed and floating rate debt, credit derivatives, and other securities with embedded credit risk. The whole process, from the specification of the underlying stochastic processes to the estimation of the parameters and calibration to market data is shown. The models proposed are validated in a lot of in- and out-of-sample statistical tests. Typical applications such as bond portfolio optimization under the consideration of credit risk are discussed in depth.
Promise Angels is dedicated to bringing you great books at great prices. Whether you read for entertainment, to learn, or for literacy - you will find what you want at promiseangels.com!
Est. Packaging Dimensions: Length: 9" Width: 6" Height: 0.75" Weight: 0.85 lbs.
Release Date Mar 22, 2002
ISBN 3540431950 ISBN13 9783540431954
Reviews - What do customers think about Pricing Credit Linked Financial Instruments?
Great Overview of Models but a Little Too Academic Jun 6, 2002
This book is an excellent read and should be required reading for any credit trader or risk manager - buy- or sell-side. The model that is proposed is general enough to be practical but academically rigorous enough to garner respect. The actual application of the model is a little limited and I lokk forward to further research by the author. All-in-all - a well structured tour of current models and application of an innovative generalisation of a number of frameworks.