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Credit Risk Valuation

Methods, Models, and Applications

  • Book
  • © 2001

Overview

Authors:
  1. Manuel Ammann

    1. Swiss Institute of Banking and Finance, University of St. Gallen, St. Gallen, Switzerland

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Part of the book series: Springer Finance (FINANCE)

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Table of contents (7 chapters)

  1. Front Matter

    Pages I-X
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  2. Introduction

    • Manuel Ammann
    Pages 1-11

  3. Contingent Claim Valuation

    • Manuel Ammann
    Pages 13-45

  4. Credit Risk Models

    • Manuel Ammann
    Pages 47-75

  5. A Firm Value Pricing Model for Derivatives with Counterparty Default Risk

    • Manuel Ammann
    Pages 77-140

  6. A Hybrid Pricing Model for Contingent Claims with Credit Risk

    • Manuel Ammann
    Pages 141-174

  7. Pricing Credit Derivatives

    • Manuel Ammann
    Pages 175-216

  8. Conclusion

    • Manuel Ammann
    Pages 217-221

  9. Back Matter

    Pages 223-255
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Keywords

About this book

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 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 on credit risk. This monograph gives an overview of the current methods for the valu­ ation of credit risk and considers several applications of credit risk models in the context of derivative pricing. In particular, credit risk models are in­ corporated into the pricing of derivative contracts that are subject to credit risk. Credit risk can affect prices of derivatives 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 underlying vari­ able of a derivative instrument. In this case, the instrument is called a credit derivative. Fourth, credit derivatives may themselves be exposed to counter­ party risk. This text addresses all of those valuation problems but focuses on counterparty risk. The book is divided into six chapters and an appendix. Chapter 1 gives a brief introduction into credit risk and motivates the use of credit risk models in contingent claims pricing.

Authors and Affiliations

  • Swiss Institute of Banking and Finance, University of St. Gallen, St. Gallen, Switzerland

    Manuel Ammann

Bibliographic Information

  • Book Title: Credit Risk Valuation

  • Book Subtitle: Methods, Models, and Applications

  • Authors: Manuel Ammann

  • Series Title: Springer Finance

  • DOI: https://doi.org/10.1007/978-3-662-06425-2

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer-Verlag Berlin Heidelberg 2001

  • Hardcover ISBN: 978-3-540-67805-2Published: 22 June 2001

  • Softcover ISBN: 978-3-642-08733-2Published: 15 December 2010

  • eBook ISBN: 978-3-662-06425-2Published: 09 March 2013

  • Series ISSN: 1616-0533

  • Series E-ISSN: 2195-0687

  • Edition Number: 2

  • Number of Pages: X, 255

  • Additional Information: Originally published as volume 470 in the series: Lecture Notes in Economics and Mathematical Systems

  • Topics: Finance, general, Quantitative Finance

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