Credit Risk Assessment - Methods, Models, and Applications (Second Edition)

Author: Manuel Ammann
Publisher:
Publish Date: 2005-01-01
Features: The second edition of this book introduces advanced theories of credit risk assessment models. Utilizing theories developed from contingent claim analysis, it provides credit risk pricing and covers the current theories of credit risk assessment. With a focus on counterparty risk, it analyzes the application of credit risk models in the pricing of financial derivatives. It introduces the most popular credit risk models and provides detailed proofs for numerous propositions. This book is suitable for senior undergraduate students, master's and doctoral students in finance-related fields, as well as practicing professionals.