This book offers an advanced introduction to models of credit risk valuation concentrating on firm-value and reduced-form approaches and their application. The book provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multivariate trees used to price derivative credit risk.
Published Date:
22/06/2001
Publisher:
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Dimensions:
156 mm x 234 mm