Credit Risk - pr_289525

Credit Risk

By Marek Capinski, Tomasz Zastawniak

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Modelling credit risk accurately is central to the practice of mathematical finance. The majority of available texts are aimed at an advanced level, and are more suitable for PhD students and researchers. This volume of the Mastering Mathematical Finance series addresses the need for a course intended for master's students, final-year undergraduates, and practitioners. The book focuses on the two mainstream modelling approaches to credit risk, namely structural models and reduced-form models, and on pricing selected credit risk derivatives. Balancing rigorous theory with examples, it takes readers through a natural development of mathematical ideas and financial intuition.

Product code: 9780521175753

ISBN 9780521175753
Dimensions (HxWxD in mm) H227xW152xS10
No. Of Pages 201
Publisher Cambridge University Press
Series Mastering Mathematical Finance
This comprehensive and accessible introduction to modelling credit risk is tailored for master's students. It focuses on the two mainstream approaches, structural models and reduced form models, and on pricing selected credit risk derivatives. Balancing rigorous theory with financial intuition, it features detailed worked examples and exercises.