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1、TomaszR.BieleckiMarekRutkowskiCreditRisk:Modeling,Valuation,andHedgingDecember5,2001Springer-VerlagBerlinHeidelbergNewYorkLondonParisTokyoHongKongBarcelonaBudapestPrefaceMathematicalnanceandnancialengineeringhavebeenrapidlyexpandingeldsofscienceoverthepastthreedecades.T
2、hemainreasonbehindthisphenomenonhasbeenthesuccessofsophisticatedquantitativemethodolo-giesinhelpingprofessionalsmanagenancialrisks.Itisexpectedthatthenewlydevelopedcreditderivativesindustrywillalsobenetfromtheuseofadvancedmathematics.Thisindustryhasgrownaroundtheneedtoha
3、ndlecreditrisk,whichisoneofthefundamentalfactorsofnancialrisk.Inrecentyears,wehavewitnessedatremendousaccelerationinresearcheortsaimedatbettercomprehending,modelingandhedgingthiskindofrisk.Althoughintherstchapterweprovideabriefoverviewofissuesrelatedtocreditrisk,ourgoal
4、wastointroducethebasicconceptsandrelatedno-tation,ratherthantodescribethenancialandeconomicalaspectsofthisimportantsectorofnancialmarket.Theinterestedreadermayconsult,forinstance,Francisetal.(1999)orNelken(1999)foramuchmoreexhaustivedescriptionofthecreditderivativesindus
5、try.Themainobjectiveofthismonographistopresentacomprehensivesur-veyofthepastdevelopmentsintheareaofcreditriskresearch,aswellastoputforththemostrecentadvancementsinthiseld.Animportantaspectofthistextisthatitattemptstobridgethegapbetweenthemathematicalthe-oryofcreditriskand
6、nancialpractice,whichservesasthemotivationforthemathematicalmodelingstudiedinthisbook.Mathematicaldevelopmentsarepresentedinathoroughmannerandcoverthestructural(value-of-the-rm)andthereduced-form(intensity-based)approachestocreditriskmodeling,appliedbothtosingleandtomult
7、ipledefaults.Inparticular,thisbookoersadetailedstudyofvariousarbitrage-freemodelsofdefaultabletermstruc-turesofinterestrateswithseveralratinggrades.Thisbookisdividedintothreeparts.PartI,consistingofChapters1-3,ismainlydevotedtotheclassicvalue-of-the-rmapproachtothevaluat
8、ionandhedgingofcorporatedebt.Thestartingpointisthemodelingofthedynamicsofthetotalvalueoft