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1、TomaszR.BieleckiMarekRutkowskiCreditRisk:Modeling,Valuation,andHedgingDecember5,2001Springer-VerlagBerlinHeidelbergNewYorkLondonParisTokyoHongKongBarcelonaBudapestPrefaceMathematical nanceand nancialengineeringhavebeenrapidlyexpanding eldsofscienceoverthepastthreedecades.T
2、hemainreasonbehindthisphenomenonhasbeenthesuccessofsophisticatedquantitativemethodolo-giesinhelpingprofessionalsmanage nancialrisks.Itisexpectedthatthenewlydevelopedcreditderivativesindustrywillalsobene tfromtheuseofadvancedmathematics.Thisindustryhasgrownaroundtheneedtoha
3、ndlecreditrisk,whichisoneofthefundamentalfactorsof nancialrisk.Inrecentyears,wehavewitnessedatremendousaccelerationinresearche ortsaimedatbettercomprehending,modelingandhedgingthiskindofrisk.Althoughinthe rstchapterweprovideabriefoverviewofissuesrelatedtocreditrisk,ourgoal
4、wastointroducethebasicconceptsandrelatedno-tation,ratherthantodescribethe nancialandeconomicalaspectsofthisimportantsectorof nancialmarket.Theinterestedreadermayconsult,forinstance,Francisetal.(1999)orNelken(1999)foramuchmoreexhaustivedescriptionofthecreditderivativesindus
5、try.Themainobjectiveofthismonographistopresentacomprehensivesur-veyofthepastdevelopmentsintheareaofcreditriskresearch,aswellastoputforththemostrecentadvancementsinthis eld.Animportantaspectofthistextisthatitattemptstobridgethegapbetweenthemathematicalthe-oryofcreditriskand
6、 nancialpractice,whichservesasthemotivationforthemathematicalmodelingstudiedinthisbook.Mathematicaldevelopmentsarepresentedinathoroughmannerandcoverthestructural(value-of-the- rm)andthereduced-form(intensity-based)approachestocreditriskmodeling,appliedbothtosingleandtomult
7、ipledefaults.Inparticular,thisbooko ersadetailedstudyofvariousarbitrage-freemodelsofdefaultabletermstruc-turesofinterestrateswithseveralratinggrades.Thisbookisdividedintothreeparts.PartI,consistingofChapters1-3,ismainlydevotedtotheclassicvalue-of-the- rmapproachtothevaluat
8、ionandhedgingofcorporatedebt.Thestartingpointisthemodelingofthedynamicsofthetotalvalueoft
