Credit Risk Modeling



In this chapter, we briefly introduce the basic credit risk modeling including measuring portfolio risk and pricing defaultable bonds, credit derivatives, and other securities exposed to credit risk.


Credit Risk Credit Rating Credit Default Swap Default Probability Credit Spread 
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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  1. 1.Department of Mathematics and StatisticsBowling Green State UniversityBowling GreenUSA
  2. 2.Department of MathematicsUniversity of LouisvilleLouisvilleUSA
  3. 3.Department of MathematicsCalifornia State University StanislausTurlockUSA

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