Pricing Derivative Credit Risk is popular PDF and ePub book, written by Manuel Ammann in 2013-06-29, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Pricing Derivative Credit Risk can be Read Online from any device for your convenience.
Pricing Derivative Credit Risk Book PDF Summary
Credit risk is an important consideration in most financial transactions. As for any other risk, the risk taker requires compensation for the undiversifiable part of the risk taken. In bond markets, for example, riskier issues generally promise investors a higher yield. The same principle also applies to financial derivatives. Otherwise identical derivative securities will likely have differ ent prices if the counterparties are not of the same credit quality. Although this argument seems intuitively convincing, widely used pricing models for financial derivatives do not incorporate credit risk effects. This research monograph analyzes the effect of credit risk on financial derivatives prices. Credit risk can affect derivatives prices in a variety of ways. First, financial derivatives can be subject to counterparty default risk. Second, a derivative can be written on a security which is subject to credit risk, such as a corporate bond. Third, the credit risk itself can be the un derlying of a derivative instrument. The text focuses on valuation models which take into account counterparty risk but also addresses the other two valuation problems.
Detail Book of Pricing Derivative Credit Risk PDF
- Author : Manuel Ammann
- Release : 29 June 2013
- Publisher : Springer Science & Business Media
- ISBN : 9783662223307
- Genre : Business & Economics
- Total Page : 238 pages
- Language : English
- PDF File Size : 12,7 Mb
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