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Credit Risk: Modeling, Valuation and Hedging

  • Tomasz R. Bielecki
  • Marek Rutkowski

Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages I-XVIII
  2. Structural Approach

    1. Front Matter
      Pages 1-1
    2. Tomasz R. Bielecki, Marek Rutkowski
      Pages 3-30
    3. Tomasz R. Bielecki, Marek Rutkowski
      Pages 31-64
    4. Tomasz R. Bielecki, Marek Rutkowski
      Pages 65-120
  3. Hazard Processes

    1. Front Matter
      Pages 121-121
    2. Tomasz R. Bielecki, Marek Rutkowski
      Pages 123-140
    3. Tomasz R. Bielecki, Marek Rutkowski
      Pages 141-164
    4. Tomasz R. Bielecki, Marek Rutkowski
      Pages 165-196
    5. Tomasz R. Bielecki, Marek Rutkowski
      Pages 197-218
  4. Reduced-Form Modeling

    1. Front Matter
      Pages 219-219
    2. Tomasz R. Bielecki, Marek Rutkowski
      Pages 221-264
    3. Tomasz R. Bielecki, Marek Rutkowski
      Pages 265-292
    4. Tomasz R. Bielecki, Marek Rutkowski
      Pages 293-312
    5. Tomasz R. Bielecki, Marek Rutkowski
      Pages 313-350
    6. Tomasz R. Bielecki, Marek Rutkowski
      Pages 351-384
    7. Tomasz R. Bielecki, Marek Rutkowski
      Pages 385-422
    8. Tomasz R. Bielecki, Marek Rutkowski
      Pages 423-450
    9. Tomasz R. Bielecki, Marek Rutkowski
      Pages 451-478
  5. Back Matter
    Pages 479-501

About this book

Introduction

Mathematical finance and financial engineering have been rapidly expanding fields of science over the past three decades. The main reason behind this phenomenon has been the success of sophisticated quantitative methodologies in helping professionals to manage financial risks. The newly developed credit derivatives industry has grown around the need to handle credit risk, which is one of the fundamental factors of financial risk. In recent years, we have witnessed a tremendous acceleration in research efforts aimed at better apprehending, modeling and hedging of this kind of risk. One of the objectives has been to understand links between credit risk and other major sources of uncertainty, such as the market risk or the liquidity risk. The main objective of this monograph is to present a comprehensive survey ofthe past developments in the area of credit risk research, as well as put forth the most recent advancements in this field. An important aspect of this text is that it attempts to bridge the gap between the mathematical theory of credit risk and the financial practice, which serves as the motivation for the mathematical modeling studied in the book. Mahtematical developments are presented in a thorough manner and cover the structural (value-of-the-firm) and the reduced-form (intensity-based) approaches to credit risk modeling, applied both to single and to multiple defaults. In particular, the book offers a detailed study of various arbitrage-free models of defaultable term structures with several rating grades. This book will serve as a valuable reference for financial analysts and traders involved with credit derivatives. Some aspects of the book may also be useful for market practitioners with managing credit-risk sensitives portfolios. Graduate students and researchers in areas such as finance theory, mathematical finance, financial engineering and probability theory will benefit from the book as well. On the technical side, readers are assumed to be familiar with graduate level probability theory, theory of stochastic processes, and elements of stochastic analysis and PDEs; some acquaintance with arbitrage pricing theory is also

Keywords

Arbitrage pricing Credit Derivatives Markov Chain Markov Chains Probability theory Stochastic Processes calculus credit risk defaultable bonds dynamic hedging modeling

Authors and affiliations

  • Tomasz R. Bielecki
    • 1
  • Marek Rutkowski
    • 2
  1. 1.Applied Mathematics DepartmentIllinois Institute of TechnologyChicagoUSA
  2. 2.Faculty of Mathematics and Information SciencePolitechnika WarszawskaWarszawaPoland

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-662-04821-4
  • Copyright Information Springer-Verlag Berlin Heidelberg 2004
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-642-08707-3
  • Online ISBN 978-3-662-04821-4
  • Series Print ISSN 1616-0533
  • Series Online ISSN 2195-0687
  • Buy this book on publisher's site
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