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Modeling Credit Risk and Pricing Credit Derivatives High quality books

Modeling Credit Risk and Pricing Credit Derivatives
By:Martin P. Wolf
Published on 2002-02-17 by Universal-Publishers

The thesis starts with a short description of the credit derivatives' place in the credit risk management. Then it proceeds by outlining the basic forms of credit derivatives, their applications, and their contract elements. A short description of the two common pricing frameworks for credit derivatives, the Firm's Value Models and the Credit Rating Transition Models is given. The major approach reviewed in this thesis is the one of Duffie-Singleton for valuing credit derivatives with term structure models. This framework is also applied in a simulation and examines the importance of the different parameters on the outcome. Also examples for the valuation of Default Digital Swaps and Puts as well as Credit Default Swaps and Puts are given.

This Book was ranked at 37 by Google Books for keyword Credit.

Book ID of Modeling Credit Risk and Pricing Credit Derivatives's Books is ACLLsjM08pMC, Book which was written byMartin P. Wolfhave ETAG "Dp2PBHiHjAs"

Book which was published by Universal-Publishers since 2002-02-17 have ISBNs, ISBN 13 Code is 9781581121452 and ISBN 10 Code is 1581121458

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Book which have " Pages" is Printed at BOOK under CategoryBusiness and Economics

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