Matches in Harvard for { <http://id.lib.harvard.edu/aleph/008930906/catalog> ?p ?o. }
Showing items 1 to 23 of
23
with 100 items per page.
- catalog contributor b12541370.
- catalog created "c2002.".
- catalog date "2002".
- catalog date "c2002.".
- catalog dateCopyrighted "c2002.".
- catalog description "1. Introduction -- 2. Modelling Credit Risk -- Definition and Elements of Credit Risk -- Modelling Transition and Default Probabilities -- Modelling Recovery Rates -- 3. Pricing Credit Linked Financial Instruments -- The Three-Factor Model -- The Pricing of Defaultable Fixed and Floating Rate Debt -- The Pricing of Credit Derivatives -- A Discrete-Time Version of the Three-Factor Model -- Fitting the Model to Market Data -- Portfolio Optimization under Credit Risk -- A. S&P's Definition of Default -- B. Technical Proofs -- C. Pricing of Credit Derivatives: Extensions.".
- catalog description "Includes bibliographical references (p. [233]-242) and index.".
- catalog extent "x, 246 p. :".
- catalog identifier "3540431950 (softcover : alk. paper)".
- catalog isPartOf "Lecture notes in economics and mathematical systems, 0075-8450 ; 516".
- catalog issued "2002".
- catalog issued "c2002.".
- catalog language "eng".
- catalog publisher "Berlin ; New York : Springer,".
- catalog subject "332.63/2 21".
- catalog subject "Bonds Prices Mathematical models.".
- catalog subject "Credit Management.".
- catalog subject "Derivative securities Prices Mathematical models.".
- catalog subject "HG6024.A3 S36 2002".
- catalog subject "Risk management.".
- catalog tableOfContents "1. Introduction -- 2. Modelling Credit Risk -- Definition and Elements of Credit Risk -- Modelling Transition and Default Probabilities -- Modelling Recovery Rates -- 3. Pricing Credit Linked Financial Instruments -- The Three-Factor Model -- The Pricing of Defaultable Fixed and Floating Rate Debt -- The Pricing of Credit Derivatives -- A Discrete-Time Version of the Three-Factor Model -- Fitting the Model to Market Data -- Portfolio Optimization under Credit Risk -- A. S&P's Definition of Default -- B. Technical Proofs -- C. Pricing of Credit Derivatives: Extensions.".
- catalog title "Pricing credit linked financial instruments : theory and empirical evidence / Bernd Schmid.".
- catalog type "text".