Pricing credit linked financial instruments : theory and empirical evidence /
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| Author / Creator: | Schmid, Bernd. |
|---|---|
| Imprint: | Berlin ; New York : Springer, c2002. |
| Description: | x, 246 p. : ill. ; 24 cm. |
| Language: | English |
| Series: | Lecture notes in economics and mathematical systems, 0075-8450 ; 516 Lecture notes in economics and mathematical systems 516. |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/4608669 |
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| 100 | 1 | |a Schmid, Bernd. |1 http://viaf.org/viaf/55095840 | |
| 245 | 1 | 0 | |a Pricing credit linked financial instruments : |b theory and empirical evidence / |c Bernd Schmid. |
| 260 | |a Berlin ; |a New York : |b Springer, |c c2002. | ||
| 300 | |a x, 246 p. : |b ill. ; |c 24 cm. | ||
| 336 | |a text |b txt |2 rdacontent |0 http://id.loc.gov/vocabulary/contentTypes/txt | ||
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| 490 | 1 | |a Lecture notes in economics and mathematical systems, |x 0075-8450 ; |v 516 | |
| 500 | |a Based on the author's thesis--Universität, Frankfurt/Oder, 2001. | ||
| 504 | |a Includes bibliographical references (p. [233]-242) and index. | ||
| 505 | 0 | 0 | |g 1. |t Introduction -- |g 2. |t Modelling Credit Risk -- |t Definition and Elements of Credit Risk -- |t Modelling Transition and Default Probabilities -- |t Modelling Recovery Rates -- |g 3. |t Pricing Credit Linked Financial Instruments -- |t The Three-Factor Model -- |t The Pricing of Defaultable Fixed and Floating Rate Debt -- |t The Pricing of Credit Derivatives -- |t A Discrete-Time Version of the Three-Factor Model -- |t Fitting the Model to Market Data -- |t Portfolio Optimization under Credit Risk. |g A. |t S&P's Definition of Default -- |g B. |t Technical Proofs -- |g C. |t Pricing of Credit Derivatives: Extensions. |
| 650 | 0 | |a Derivative securities |x Prices |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh2009123217 | |
| 650 | 0 | |a Credit |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh2009122265 | |
| 650 | 0 | |a Risk |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh2008110813 | |
| 650 | 7 | |a Bonds |x Prices |x Mathematical models. |2 fast |0 http://id.worldcat.org/fast/fst00835903 | |
| 650 | 7 | |a Credit |x Management. |2 fast |0 http://id.worldcat.org/fast/fst00882536 | |
| 650 | 7 | |a Derivative securities |x Prices |x Mathematical models. |2 fast |0 http://id.worldcat.org/fast/fst00891028 | |
| 650 | 7 | |a Risk management. |2 fast |0 http://id.worldcat.org/fast/fst01098164 | |
| 830 | 0 | |a Lecture notes in economics and mathematical systems |v 516. |0 http://id.loc.gov/authorities/names/n42015164 | |
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| 928 | |t Library of Congress classification |a HB195.L4911 no.516 |l ASR |c ASR-JRLASR |i 4392019 | ||
| 927 | |t Library of Congress classification |a HB195.L4911 no.516 |l ASR |c ASR-JRLASR |g Analytic |b A58630789 |i 7218914 | ||