Pricing Derivative Credit Risk

  • Manuel Ammann

Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 470)

Table of contents

  1. Front Matter
    Pages I-XII
  2. Manuel Ammann
    Pages 1-11
  3. Manuel Ammann
    Pages 13-45
  4. Manuel Ammann
    Pages 47-74
  5. Manuel Ammann
    Pages 165-168
  6. Back Matter
    Pages 169-232

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 generally promise investors a higher yield. The same principle also applies to financial derivatives. Otherwise identical derivative securities will likely have differ­ ent prices if the counterparties are not of the same credit quality. Although this argument seems intuitively convincing, widely used pricing models for financial derivatives do not incorporate credit risk effects. This research monograph analyzes the effect of credit risk on financial derivatives prices. Credit risk can affect derivatives prices 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 un­ derlying of a derivative instrument. The text focuses on valuation models which take into account counterparty risk but also addresses the other two valuation problems.


Bewertung Derivative Finanzinstrumente Finanzinstrumente Kredit Kreditrisiko Martingaltheorie credit risk derivative securities derivatives martingale theory mehrdimensionale Baumstrukturen multi-dimensional tree structures pricing/valuation valuation

Authors and affiliations

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

Bibliographic information

  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 1999
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-65753-8
  • Online ISBN 978-3-662-22330-7
  • Series Print ISSN 0075-8442
  • Buy this book on publisher's site
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