Arbeitspapier
Credit risk modeling and valuation: An introduction
Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities. We consider individual as well as correlated credit risks.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 2002,54
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
compensator
intensity
credit risk
default risk
structural approach
reduced form approach
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Giesecke, Kay
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
2002
- Handle
- URN
-
urn:nbn:de:kobv:11-10049126
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Giesecke, Kay
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 2002
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