Credit Derivatives Pricing Models by Philipp J Schönbucher
The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time.
PHILIPP J. SCHÖNBUCHER is Assistant Professor for Risk Management in the Mathematics Department at ETH Zurich. He has been an active researcher in the areas of credit risk modelling and credit derivatives pricing for the past seven years. His contributions include models for the term structure of credit spreads and the dynamic copula-approach for portfolio credit risk. Through his activities in training and consulting on credit derivatives he has gained valuable insights into the usability, strengths and weaknesses of the different credit derivatives pricing models in a practical context.
Dr. Schönbucher holds a M.Sc. in mathematics from Oxford University, and diploma and a Ph.D in economics from Bonn University.
| SKU | Unavailable |
| ISBN 13 | 9780470842911 |
| ISBN 10 | 0470842911 |
| Title | Credit Derivatives Pricing Models |
| Author | Philipp J Schönbucher |
| Series | The Wiley Finance Series |
| Condition | Unavailable |
| Binding Type | Hardback |
| Publisher | John Wiley & Sons Inc |
| Year published | 2003-05-16 |
| Number of pages | 384 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |