Titlebook: Credit Risk Valuation; Methods, Models, and Manuel Ammann Book 2001Latest edition Springer-Verlag Berlin Heidelberg 2001 Bewertung.Counterp

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Introduction,e creditor a financial loss. In this broad definition, it is irrelevant whether the counterparty is unable to meet its contractual obligations due to financial distress or is unwilling to honor an unenforceable contract.

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Credit Risk Models,pproaches usually fall into two categories. One group is based on the evolution of the firm value to determine default and recovery rate, called firm value models. The more recently introduced intensity models, on the other hand, specify an exogenous default process which governs default. The defaul

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A Hybrid Pricing Model for Contingent Claims with Credit Risk,value models and from intensity models. Specifically, the firm value models the recovery rate while, at the same time, an intensity-based bankruptcy process determines the occurrence of default. We study the hybrid model under various assumptions with respect to the bankruptcy process and interest r

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Pricing Credit Derivatives, 5.6.2, we address the pricing of default-free derivatives on credit-risky bonds. In this chapter, we look at derivative instruments with credit risk as their underlying variable determining the payoff of the instrument. Such instruments are commonly called ..

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1616-0533 aker requires compensation for the undiversifiable part of the risk taken. In bond markets, for example, riskier issues have to promise a higher yield to attract investors. But how much higher a yield? Using methods from contingent claims analysis, credit risk valuation models attempt to put a price

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