Credit Rating Migration Risks in Structure Models
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Credit Rating Migration Risks in Structure Models
Hu, Bei; Liang, Jin
Springer Verlag, Singapore
08/2024
277
Dura
9789819721788
Pré-lançamento - envio 15 a 20 dias após a sua edição
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Financial Background.- Preliminary Mathematical Theory.- Mathematical Models for Measuring Default Risks.- Markov Chain Approach for Measuring Credit Rating Migration Risks.- Application of Reduced Form/Markov Chain Credit Rating Migration Model.- Structure Models for Measuring Credit Rating Migration Risks.- Theoretical Results in the Structural Credit Rating Migration Models.- Extensions for Structural Credit Rating Migration Models.- Credit Derivatives Related to Rating Migrations.- Numerical Simulation, Calibration and Recovery of Credit Rating Boundary.
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Credit Rating Migration;Cridit Risks Measure;Bond Pricing;Free Boundary PDE;Structure Model;Credit Risks;Credit Boundary
Financial Background.- Preliminary Mathematical Theory.- Mathematical Models for Measuring Default Risks.- Markov Chain Approach for Measuring Credit Rating Migration Risks.- Application of Reduced Form/Markov Chain Credit Rating Migration Model.- Structure Models for Measuring Credit Rating Migration Risks.- Theoretical Results in the Structural Credit Rating Migration Models.- Extensions for Structural Credit Rating Migration Models.- Credit Derivatives Related to Rating Migrations.- Numerical Simulation, Calibration and Recovery of Credit Rating Boundary.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
