© 2001

Credit Risk Valuation

Methods, Models, and Applications


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


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.


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

Authors and affiliations

  1. 1.Swiss Institute of Banking and FinanceUniversity of St. GallenSt. GallenSwitzerland

Bibliographic information

  • Book Title Credit Risk Valuation
  • Book Subtitle Methods, Models, and Applications
  • Authors Manuel Ammann
  • Series Title Springer Finance
  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 2001
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Hardcover ISBN 978-3-540-67805-2
  • Softcover ISBN 978-3-642-08733-2
  • eBook ISBN 978-3-662-06425-2
  • Series ISSN 1616-0533
  • Series E-ISSN 2195-0687
  • Edition Number 2
  • Number of Pages X, 255
  • Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
  • Additional Information Originally published as volume 470 in the series: Lecture Notes in Economics and Mathematical Systems
  • Topics Finance, general
    Quantitative Finance
  • Buy this book on publisher's site
Industry Sectors
Chemical Manufacturing
Finance, Business & Banking
Consumer Packaged Goods