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Credit Risk Valuation

Methods, Models, and Applications

  • Manuel Ammann

Part of the Springer Finance book series (FINANCE)

Table of contents

  1. Front Matter
    Pages I-X
  2. Manuel Ammann
    Pages 1-11
  3. Manuel Ammann
    Pages 13-45
  4. Manuel Ammann
    Pages 47-75
  5. Manuel Ammann
    Pages 175-216
  6. Manuel Ammann
    Pages 217-221
  7. Back Matter
    Pages 223-255

About this book

Introduction

Credit risk is an important consideration in most financial transactions. As for any other risk, the risk taker requires compensation for the undiversifiable part of the risk taken. In bond markets, for example, riskier issues have to promise a higher yield to attract investors. But how much higher a yield? Using methods from contingent claims analysis, credit risk valuation models attempt to put a price on credit risk. This monograph gives an overview of the current methods for the valu­ ation of credit risk and considers several applications of credit risk models in the context of derivative pricing. In particular, credit risk models are in­ corporated into the pricing of derivative contracts that are subject to credit risk. Credit risk can affect prices of derivatives in a variety of ways. First, financial derivatives can be subject to counterparty default risk. Second, a derivative can be written on a security which is subject to credit risk, such as a corporate bond. Third, the credit risk itself can be the underlying vari­ able of a derivative instrument. In this case, the instrument is called a credit derivative. Fourth, credit derivatives may themselves be exposed to counter­ party risk. This text addresses all of those valuation problems but focuses on counterparty risk. The book is divided into six chapters and an appendix. Chapter 1 gives a brief introduction into credit risk and motivates the use of credit risk models in contingent claims pricing.

Keywords

Bewertung Counterparty Risk Credit Derivatives Credit Risk Derivative Derivatives Insolvenzrisiko Kreditrisiko Martingales Pricing Valuation

Authors and affiliations

  • Manuel Ammann
    • 1
  1. 1.Swiss Institute of Banking and FinanceUniversity of St. GallenSt. GallenSwitzerland

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-662-06425-2
  • Copyright Information Springer-Verlag Berlin Heidelberg 2001
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-642-08733-2
  • Online ISBN 978-3-662-06425-2
  • Series Print ISSN 1616-0533
  • Series Online ISSN 2195-0687
  • Buy this book on publisher's site
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