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Credit Risk Modeling - With Stochastic Volatility, Jumps and Stochastic Interest Rates - Yuksel, Ayhan
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Yuksel, Ayhan:

Credit Risk Modeling - With Stochastic Volatility, Jumps and Stochastic Interest Rates - Taschenbuch

2010, ISBN: 9783838381312

[ED: Taschenbuch / Paperback], [PU: LAP Lambert Academic Publishing], This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credi… Mehr…

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Credit Risk Modeling - Ayhan Yuksel
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Credit Risk Modeling - neues Buch

2011, ISBN: 9783838381312

This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single fi… Mehr…

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Credit Risk Modeling - Ayhan Yuksel
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Ayhan Yuksel:
Credit Risk Modeling - neues Buch

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ISBN: 9783838381312

This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single fi… Mehr…

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Credit Risk Modeling - Ayhan Yuksel
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Ayhan Yuksel:
Credit Risk Modeling - neues Buch

ISBN: 9783838381312

This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single fi… Mehr…

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Credit Risk Modeling - Ayhan Yuksel
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Ayhan Yuksel:
Credit Risk Modeling - neues Buch

ISBN: 9783838381312

This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single fi… Mehr…

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Details zum Buch
Credit Risk Modeling

This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single firm credit risk, modeling portfolio credit risk and credit risk pricing. First we analyze these questions under the assumptions that firm value follows a geometric Brownian motion and the interest rates are constant. We discuss the weaknesses of the geometric Brownian motion assumption in explaining empirical properties of real data. Then we propose a new extended model in which asset value, volatility and interest rates follow affine jump diffusion processes. In our extended model volatility is stochastic, asset value and volatility has correlated jumps and interest rates are stochastic and have jumps. Finally, we analyze the modeling of single firm credit risk and credit risk pricing by using our extended model and show how our model can be used as a solution for the problems we encounter with simple models.

Detailangaben zum Buch - Credit Risk Modeling


EAN (ISBN-13): 9783838381312
ISBN (ISBN-10): 3838381319
Taschenbuch
Erscheinungsjahr: 2010
Herausgeber: LAP LAMBERT Academic Publishing
164 Seiten
Gewicht: 0,266 kg
Sprache: eng/Englisch

Buch in der Datenbank seit 2011-05-09T04:00:53+02:00 (Berlin)
Detailseite zuletzt geändert am 2019-06-28T12:33:16+02:00 (Berlin)
ISBN/EAN: 9783838381312

ISBN - alternative Schreibweisen:
3-8383-8131-9, 978-3-8383-8131-2


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