2002-06-11Buch DOI: 10.18452/3500
Credit Risk Modeling and Valuation
Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities. We consider individual as well as correlated credit risks.
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Is Part Of Series: Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes - 54, SFB 373 Papers, ISSN:1436-1086