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The Resource Credit risk valuation : methods, models, and applications, Manuel Ammann

Credit risk valuation : methods, models, and applications, Manuel Ammann

Label
Credit risk valuation : methods, models, and applications
Title
Credit risk valuation
Title remainder
methods, models, and applications
Statement of responsibility
Manuel Ammann
Creator
Subject
Language
eng
Member of
Cataloging source
DLC
http://library.link/vocab/creatorDate
1970-
http://library.link/vocab/creatorName
Ammann, Manuel
Dewey number
332.63/2
Illustrations
illustrations
Index
index present
LC call number
HG3751.5
LC item number
.A45 2001
Literary form
non fiction
Nature of contents
bibliography
Series statement
Springer finance
http://library.link/vocab/subjectName
  • Credit ratings
  • Credit
  • Risk management
Label
Credit risk valuation : methods, models, and applications, Manuel Ammann
Instantiates
Publication
Note
"Originally published as volume 470 in the series Lecture notes in economics and mathematical systems with the title Pricing derivative credit risk"--Verso t.p
Bibliography note
Includes bibliographical references (pages [237]-246) and index
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • 2.3.
  • Applications in Continuous Time.
  • 2.4.
  • Application in Discrete Time
  • 3.
  • Credit Risk Models.
  • 3.1.
  • Pricing Credit-Risky Bounds.
  • 3.2.
  • Pricing Derivatives with Counterparty Risk.
  • 1.
  • 3.3.
  • Pricing Credit Derivatives.
  • 3.4.
  • Empirical Evidence
  • 4.
  • A Firm Value Pricing Model for Derivatives with Counterparty Default Risk.
  • 4.1.
  • The Credit Risk Model.
  • 4.2.
  • Deterministic Liabilities.
  • Introduction
  • 4.3.
  • Stochastic Liabilities.
  • 4.4.
  • Gaussian Interest Rates and Deterministic Liabilities.
  • 4.5.
  • Gaussian Interest Rates and Stochastic Liabilities.
  • 4.6.
  • Vulnerable Forward Contracts.
  • 4.7.
  • Numerical Examples
  • 2.
  • Contingent Claim Valuation.
  • 2.1.
  • Valuation in Discrete Time.
  • 2.2.
  • Valuation in Continuous Time.
Control code
47136732
Dimensions
25 cm
Edition
2nd ed.
Extent
x, 255 pages
Isbn
9783540678052
Isbn Type
(alk. paper)
Lccn
2001042032
Media category
unmediated
Media MARC source
rdamedia
Media type code
n
Other physical details
illustrations
Label
Credit risk valuation : methods, models, and applications, Manuel Ammann
Publication
Note
"Originally published as volume 470 in the series Lecture notes in economics and mathematical systems with the title Pricing derivative credit risk"--Verso t.p
Bibliography note
Includes bibliographical references (pages [237]-246) and index
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • 2.3.
  • Applications in Continuous Time.
  • 2.4.
  • Application in Discrete Time
  • 3.
  • Credit Risk Models.
  • 3.1.
  • Pricing Credit-Risky Bounds.
  • 3.2.
  • Pricing Derivatives with Counterparty Risk.
  • 1.
  • 3.3.
  • Pricing Credit Derivatives.
  • 3.4.
  • Empirical Evidence
  • 4.
  • A Firm Value Pricing Model for Derivatives with Counterparty Default Risk.
  • 4.1.
  • The Credit Risk Model.
  • 4.2.
  • Deterministic Liabilities.
  • Introduction
  • 4.3.
  • Stochastic Liabilities.
  • 4.4.
  • Gaussian Interest Rates and Deterministic Liabilities.
  • 4.5.
  • Gaussian Interest Rates and Stochastic Liabilities.
  • 4.6.
  • Vulnerable Forward Contracts.
  • 4.7.
  • Numerical Examples
  • 2.
  • Contingent Claim Valuation.
  • 2.1.
  • Valuation in Discrete Time.
  • 2.2.
  • Valuation in Continuous Time.
Control code
47136732
Dimensions
25 cm
Edition
2nd ed.
Extent
x, 255 pages
Isbn
9783540678052
Isbn Type
(alk. paper)
Lccn
2001042032
Media category
unmediated
Media MARC source
rdamedia
Media type code
n
Other physical details
illustrations

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