Credit derivatives pricing models : models, pricing and implementation

＜図書＞
Credit derivatives pricing models : models, pricing and implementation

責任表示	Philipp J. Schönbucher
シリーズ	Wiley finance series
データ種別	図書
出版情報	Chichester : Wiley , c2003
本文言語	英語
大きさ	xxi, 375 p. : ill. ; 25 cm
概要	In this book, Philipp Schö nbucher covers all the important modelling approaches from hedge-based pricing to stochastic-intensity models, credit rating models and firm's value based models, concludin... with a large chapter on portfolio credit risk models. The author builds the models starting from simple basic models, introducing complexity only where it is needed, and explaining implementation, data collection and calibration on the way. The advantages and disadvantages of the different pricing approaches are clearly confronted, and the effects of hidden assumptions on the output of the models are identified. The book is an indispensable tool for credit derivatives traders, quantitative analysts, software developers, risk managers, regulators, auditors, and anybody interested in how credit derivatives are priced. 続きを見る

状態	巻次	所蔵場所	請求記号	刷年	文庫名称	資料番号	コメント	予約・取寄	複写申込	自動書庫
		経研究室	338.1/S 6/20030273	2003		017212003002732		リコール			リコール

一般注記	Bibliography: p. [361]-368 Includes index
著者標目	*Schönbucher, Philipp J.
件　名	LCSH:Credit derivatives LCSH:Credit derivatives -- Prices 全ての件名で検索
分　類	DC21:332.645
書誌ID	1001114650
ISBN	0470842911
NCID	BA62611335
巻冊次	: hbk ; ISBN:0470842911
NBN	BA2V9697
登録日	2009.09.17
更新日	2009.09.17