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Credit Risk Modeling Theory and Applications by David Lando
  

Credit Risk Modeling Theory and Applications

Part of the Princeton Series in Finance Series

Synopsis

Credit Risk Modeling Theory and Applications by David Lando

Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk. David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves. The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.

About the Author

David Lando is Professor of Finance at the Copenhagen Business School. He is an associate editor of three finance journals and a member of Moody's Academic Advisory and Research Committee.

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Book Info

Publication date

1st June 2004

Author

David Lando

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Publisher

Princeton University Press

Format

Hardback
328 pages

Categories

Credit & credit institutions
Applied mathematics

ISBN

9780691089294

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