A01=David Lando
Adapted process
Asset
Asset Sales
Author_David Lando
Barrier option
Binomial approximation
Binomial distribution
Bond Yield
Calculation
Call option
Capital structure
Category=KFFL
Category=PBW
Convenience yield
Coupon
Coupon (bond)
Credit (finance)
Credit default swap
Credit derivative
Credit risk
Credit spread (options)
Debt
Debt Issue
Discrete time and continuous time
Dividend
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
Equity value
Equivalent Martingale Measures
Estimation
Estimator
Exponential distribution
Fair value
Geometric Brownian motion
Government bond
High-yield debt
Interest rate
Interest rate swap
Issuer
Jump process
Latent variable
Leverage (finance)
Libor
Logistic regression
Market liquidity
Market value
Markov chain
Merton Model
Payment
Plain vanilla
Present value
Pricing
Probability
Probability of default
Put option
Repurchase agreement
Risk management
Risk premium
Risk-neutral measure
Semimartingale
Short rate
State variable
Swap (finance)
Swap Curve
Swap rate
Swap spread
Synthetic CDO
Tax
Tax advantage
Trading strategy
Tranche
Value (economics)
Yield curve
Yield spread
Zero-coupon bond
Product details
- ISBN 9780691089294
- Weight: 624g
- Dimensions: 152 x 235mm
- Publication Date: 21 Jun 2004
- Publisher: Princeton University Press
- Publication City/Country: US
- Product Form: Hardback
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Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations.
The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.
David Lando is Professor of Finance at the Copenhagen Business School. He is an associate editor of three finance journals and a member of Moody's Academic Advisory and Research Committee.
