{"product_id":"credit-risk-pricing-models-bernd-schmid-9783540404668","title":"Credit Risk Pricing Models: Theory and Practice","description":"This new edition is a greatly extended and updated version of my earlier monograph \"Pricing Credit Linked Financial Instruments\" (Schmid 2002). Whereas the first edition concentrated on the re- search which I had done in the context of my PhD thesis, this second edition covers all important credit risk models and gives a general overview of the subject. I put a lot of effort in explaining credit risk factors and show the latest results in default probability and recovery rate modeling. There is a special emphasis on correlation issues as well. The broad range of financial instruments I consider covers not only defaultable bonds, defaultable swaps and single counterparty credit derivatives but is further extended by multi counterparty in- struments like index swaps, basket default swaps and collateralized debt obligations. I am grateful to Springer-Verlag for the great support in the realiza- tion of this project and want to thank the readers of the first edition for their overwhelming feedback. Last but not least I want to thank Uli Ger for ongoing patience, en- couragement, and support, my family and especially my sister Wendy for being there at all times. BemdSchmid Stuttgart, November 2003 Cpntents 1. Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1. 1 Motivation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1. 2 Objectives, Structure, and S: ummary . . . . . . . . . . . . . . . . . . . . . . 5 2. Modeling Credit Risk Factors. . . . . . . . . . . . . . . . . . . . . . . 13 . . . . . . 2. 1 Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 2. 2 Definition and Elements of Credit Risk . . . . . . . . . . . . . . .. 13 . . . . 2. 3 Modeling Transition and Default Probabilities. . . . . . . . . . . . . 14 . 2. 3. 1 The Historical Method . . . . . . . . . . . . . . . . . . . . . . 15 . . . . . .\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e Bernd Schmid\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 354040466X\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9783540404668\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Springer\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 01\/21\/2004\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 383\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Hardcover\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 1.56lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.42h x 6.48w x 1.10d","brand":"Bernd Schmid","offers":[{"title":"Hardcover","offer_id":44860491071743,"sku":"9783540404668","price":199.99,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0662\/2982\/9887\/files\/img_6ece14ee-632b-44d9-9406-3d4bebf73cd8.jpg?v=1709136213","url":"https:\/\/www.whiterainbookhouse.com\/products\/credit-risk-pricing-models-bernd-schmid-9783540404668","provider":"WR Book House","version":"1.0","type":"link"}