| 書目名稱 | Pricing Derivative Credit Risk |
| 編輯 | Manuel Ammann |
| 視頻video | http://file.papertrans.cn/756/755101/755101.mp4 |
| 概述 | First book on credit risk valuation |
| 叢書名稱 | Lecture Notes in Economics and Mathematical Systems |
| 圖書封面 |  |
| 描述 | 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. |
| 出版日期 | Book 19991st edition |
| 關(guān)鍵詞 | Bewertung; Derivative Finanzinstrumente; Finanzinstrumente; Kredit; Kreditrisiko; Martingaltheorie; credit |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-662-22330-7 |
| isbn_ebook | 978-3-662-22330-7Series ISSN 0075-8442 Series E-ISSN 2196-9957 |
| issn_series | 0075-8442 |
| copyright | Springer-Verlag Berlin Heidelberg 1999 |
|Archiver|手機(jī)版|小黑屋|
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