Credit Derivatives Pricing Models: Model, Pricing and Implementation
Philipp J. Schönbucher, P.J. SchonbucherISBN: 0470842911; 9780470842911;
Since its inception, the market for credit derivatives has shown impressive growth and is expected to hit a volume of more than $4.8 trillion by 2004. Credit derivatives have begun to transform modern banking; they have become a standard instrument for the management of default risk; they are being used for risk management and hedging as well as for speculation, balance-sheet management and regulatory capital purposes. Despite their great usefulness, even established professionals often feel insecure when it comes to the quantitative analysis of the prices and risks of credit derivatives. Confronted with a bewildering variety of fundamentally different pricing approaches, it can be very challenging to understand their relative advantages and disadvantages and to choose the "correct" one for the problem at hand. In this book, the author carefully explains the different pricing models for credit derivatives in a very application-oriented way. Based on his wide experience...