Credit Risk Valuation [Hardcover]

Manuel Ammann (Author)

Book Description

Publication Date: September 18, 2002 | Series: Springer Finance

This book offers an advanced introduction to models of credit risk valuation, concentrating on firm-value and reduced-form approaches and their application. Also included are new models for valuing derivative securities with credit risk. The book provides detailed descriptions of the state-of-the-art martingale methods and advanced numerical implementations based on multivariate trees used to price derivative credit risk. Numerical examples illustrate the effects of credit risk on the prices of financial derivatives.

Product Details

• Hardcover: 500 pages
• Publisher: Springer; 2nd edition (September 18, 2002)
• Language: English
• ISBN-10: 3540678050
• ISBN-13: 978-3540678052
• Product Dimensions: 9.4 x 6.3 x 0.8 inches
• Shipping Weight: 1.3 pounds (View shipping rates and policies)
• Average Customer Review: 4.6 out of 5 stars  See all reviews (5 customer reviews)
• Amazon Best Sellers Rank: #2,377,823 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

14 of 15 people found the following review helpful:

5.0 out of 5 stars Ahead of the state of the art in counterparty risk valuation, August 25, 1999

By A Customer

This review is from: Pricing Derivative Credit Risk (Lecture Notes in Economics and Mathematical Systems) (Paperback)

This books presents the latest research in counterparty risk pricing. As my company (one of the major securities firms here in New York) is currently looking to implement counterparty risk pricing models, this book was just what I was look-ing for. It consists of one chapter on derivatives pricing (Black/Scholes, Heath/Jarrow/Morton, etc etc, all in there), one chapter on general credit risk pricing, two chapters on the valuation of counterparty credit risk (the real core of the book), one chapter on credit derivatives (somewhat short). If you are interested in counterparty risk pricing or need to implement such models, look no further than chapter 4 and 5 of this book. A word of caution, though: while this book is no doubt a wonderful find for the mathematically gifted, it is definitely not for the faint of heart. It is clearly targeted towards researchers and practitioners with advanced mathematical and modeling skills. If your mathematical background topped out with an MBA statistics course, you will choke on this book. Otherwise, and if you are interested in counterparty risk pricing of derivatives, you'll find this book to be a highly valuable resource.

7 of 8 people found the following review helpful:

5.0 out of 5 stars Extremely innovative book, August 25, 2001

By 

Jacob Biederman (New York) - See all my reviews

This review is from: Credit Risk Valuation (Hardcover)

This is an extremely innovative book on counterparty risk, not your standard lame textbook full of old stuff that everybody knows already. Focus is counterparty risk of derivatives but it also has some stuff on credit derivatives. The best part are clearly the chapters on counterparty risk. Now, this book is written for people with a strong math background; it is not an easy read. But for the few out there interested in counterparty risk and quantitative modeling techniques like me, this is a gem.

5 of 9 people found the following review helpful:

5.0 out of 5 stars Very valuable resource, November 3, 2001

By A Customer

This review is from: Credit Risk Valuation (Hardcover)

This book discusses credit risk valuation in detail and quantitatively. The book is very strong on counterparty credit risk of derivatives. That is really the focus, though it also has stuff on general credit risk and credit derivatives (I wish it had more on credit derivatives). It also offers a chapter on general option pricing and risk-neutral valuation principles (brief but very good). What I also liked was the appendix with a short description of the more important and more advanced mathematical concepts used in the book. Although (or perhaps because) not an easy read but rather terse and demanding, I found it to be an extremely valuable resource. It really helped me understand the subject matter and gave me a good idea of how to model such risks.