Schmid B. Credit Risk Pricing Models. Theory and Practice 2ed 2004

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Schmid B. Credit Risk Pricing Models. Theory and Practice 2ed 2004

Textbook in PDF format 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 instruments like index swaps, basket default swaps and collateralized debt obligations. Introduction Modeling Credit Risk Factors Pricing Corporate and Sovereign Bonds Correlated Defaults Credit Derivatives A Three-Factor Defaultable Term Structure Model A. Some Definitions of S&P B. Technical Proofs C. Pricing of Credit Derivatives: Extensions