Credit Risk Valuation: Methods, Models, and Applications

by Manuel Ammann

Book Overview

Credit risk is an important consideration in most financial transactions. As for any other risk, the risk taker requires compensation for the undiversifiable part of the risk taken. In bond markets, for example, riskier issues have to promise a higher yield to attract investors. But how much higher a yield? Using methods from contingent claims analysis, credit risk valuation models attempt to put a price on credit risk. This monograph gives an overview...

• Format: Paperback
• Language: English
• ISBN: 3642087337
• ISBN13: 9783642087332
• Release Date: December 2010
• Publisher: Springer
• Length: 255 Pages
• Weight: 0.84 lbs.
• Dimensions: 0.6" x 6.1" x 9.2"