Credit Rating Migration Risks in Structure Models
The book provides the latest research results on measuring Credit Rating Migration by mathematical methods. It brings about most popular mathematical models, methods and applications on this area, especially presents the latest development on structure models. It is systematically collects the model...
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| Huvudupphovsmän: | , |
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| Institutionell upphovsman: | |
| Materialtyp: | Elektronisk E-bok |
| Språk: | engelska |
| Publicerad: |
Singapore :
Springer Nature Singapore : Imprint: Springer,
2024.
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| Upplaga: | 1st ed. 2024. |
| Ämnen: | |
| Länkar: | https://doi.org/10.1007/978-981-97-2179-5 |
| Taggar: |
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Innehållsförteckning:
- Financial Background
- Preliminary Mathematical Theory
- Mathematical Models for Measuring Default Risks
- Markov Chain Approach for Measuring Credit Rating Migration Risks
- Application of Reduced Form/Markov Chain Credit Rating Migration Model
- Structure Models for Measuring Credit Rating Migration Risks
- Theoretical Results in the Structural Credit Rating Migration Models
- Extensions for Structural Credit Rating Migration Models
- Credit Derivatives Related to Rating Migrations
- Numerical Simulation, Calibration and Recovery of Credit Rating Boundary.