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Credit Derivatives Pricing Models: Models, Pricing and Implementation

Credit Derivatives Pricing Models: Models, Pricing and Implementation
Author: Philipp J. Schönbucher
ISBN 13: 9780470842911
ISBN 10: 470842911
Edition: 1
Publisher: Wiley
Publication Date: 2003-06-13
Format: Hardcover
Pages: 396
List Price: $179.00

In this book, Philipp Schönbucher covers all the important modelling approaches from hedge-based pricing to stochastic-intensity models, credit rating models and firm's value based models, concluding with a large chapter on portfolio credit risk models. The author builds the models starting from simple basic models, introducing complexity only where it is needed, and explaining implementation, data collection and calibration on the way. The advantages and disadvantages of the different pricing approaches are clearly confronted, and the effects of hidden assumptions on the output of the models are identified.

The book is an indispensable tool for credit derivatives traders, quantitative analysts, software developers, risk managers, regulators, auditors, and anybody interested in how credit derivatives are priced.