Credit Derivatives Pricing Models, Schönbucher

Credit Derivatives Pricing Models, Schönbucher
Credit Derivatives Pricing Models: Model, Pricing and Implementation, by Philipp J. Schönbucher offers complete summary of the most present areas in credit score risk modeling as utilized to the pricing of credit score derivatives. The credit derivatives market is booming and, for the first time, increasing into the banking sector which beforehand has had little or no exposure to quantitative modeling.

This phenomenon has compelled numerous professionals to confront this situation for the first time. As one of many first books to uniquely deal with pricing, this title can be a superb complement to other books on the applying of credit derivatives.

Based on confirmed methods which have been examined again and again, this book gives readers with the data and steering to successfully use credit score derivatives pricing models. Full of related examples that are utilized to actual-world pricing issues, Credit Derivatives Pricing Fashions paves a clear path for a greater understanding of this complicated issue.

Credit Derivatives Pricing Models covers all of the essential modeling approaches from hedge-based pricing to stochastic-depth models, credit standing fashions and agency’s worth based fashions, concluding with a large chapter on portfolio credit risk models. It successfully bridges the gap between academia and observation in a chic and straightforward style.

The creator builds the fashions ranging from simple primary fashions, introducing complexity solely where it’s needed, and explaining implementation, data assortment and calibration on the way. The benefits and downsides of the different pricing approaches are clearly confronted, and the consequences of hidden assumptions on the output of the fashions are identified.

The book is an indispensable tool for credit score derivatives traders, quantitative analysts, software program builders, risk managers, regulators, auditors, and anybody excited by how credit score derivatives are priced.

Credit Derivatives Pricing Models: Model, Pricing and Implementation [Hardcover]

Philipp J. Schönbucher
Wiley; 1 edition
600 pages

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