信用风险模型:理论与应用 Credit Risk Modeling: Theory and Applications

基本信息

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Credit Risk Modeling : Theory and Applications

by David Lando (Author)

Series:Princeton Series in Finance

Format:Hardback 328 pages, 45 line illus. 30 tables.

Publisher:Princeton University Press

Imprint:Princeton University Press

ISBN:9780691089294

Published:21 Jun 2004

Weight:634g

Dimensions:246 x 167 x 26 (mm)

页面参数仅供参考，具体以实物为准

书籍简介

信用风险是当今定量金融学中研究深入的课题之一。本书为那些寻求该领域核心问题和目前用于分析这些问题的工具的读者提供了一个介绍和概述。本书面向金融学的研究人员和学生，银行和其他金融机构的定量分析员，以及对信用风险建模方面感兴趣的监管者。

大卫·兰多考虑了信用风险分析的两大方法：一方面是基于经典的期权定价模型，另一方面是基于对发行人违约概率的直接建模。他提供了可以从每种方法中得出的见解，并证明这两种方法之间的区别并不明显。本书在快速介绍模型的基本思想和提供足够的细节之间取得了富有成效的平衡，以便读者能够自己推导和实现这些模型。

对模型及其局限性的讨论和五个技术附录帮助读者扩展和归纳模型本身或理解现有的概括。本书强调了定价的模型以及估计其参数的统计技术。应用包括基于评级的建模、从属违约的建模、互换和公司收益率曲线动态、信用违约掉期和抵押债务。

Credit risk is today one of the most intensely studied topics in quantitative finance. This book provides an introduction and overview for readers who seek an up-to-date reference to the central problems of the field and to the tools currently used to analyze them. The book is aimed at researchers and students in finance, at quantitative analysts in banks and other financial institutions, and at regulators interested in the modeling aspects of credit risk.

David Lando considers the two broad approaches to credit risk analysis: that based on classical option pricing models on the one hand, and on a direct modeling of the default probability of issuers on the other. He offers insights that can be drawn from each approach and demonstrates that the distinction between the two approaches is not at all clear-cut. The book strikes a fruitful balance between quickly presenting the basic ideas of the models and offering enough detail so readers can derive and implement the models themselves.

The discussion of the models and their limitations and five technical appendixes help readers expand and generalize the models themselves or to understand existing generalizations. The book emphasizes models for pricing as well as statistical techniques for estimating their parameters. Applications include rating-based modeling, modeling of dependent defaults, swap- and corporate-yield curve dynamics, credit default swaps, and collateralized debt obligations.

作者简介

大卫·兰多是哥本哈根商学院的金融学教授。他是三个金融期刊的副编辑，也是穆迪学术咨询和研究委员会的成员。

David Lando is Professor of Finance at the Copenhagen Business School. He is an associate editor of three finance journals and a member of Moody's Academic Advisory and Research Committee.