大阪大学金融・保険レクチャーノートシリーズ2
CREDIT RISK MODELING
在庫あり
Tomasz R.Bielecki,Monique Jeanblanc,Marek Rutkowski 著
A5判 304ページ 並製
定価3900円+税
ISBN978-4-87259-277-1 C3333
奥付の初版発行年月:2009年11月
目次
【Contents】
[1] Structural Approach
1.1 Notation and Definitions
1.2 The Merton Model
1.3 First Passage Times
1.4 The Black and Cox Model
1.5 Extensions of the Black and Cox Model
1.6 Random Barrier
[2] Hazard Function Approach
2.1 Elementary Market Model
2.2 Martingale Approach
2.3 Princing of Defaultable Claims
2.4 Single-Name Credit Derivatives
2.5 Basket Credit Derivative
2.6 Application to Coupula-Based Models
[3] Hazard Process Approach
3.1 Hazard Process and its Applications
3.2 Hypothsis
3.3 Predictable Representation Theorem
3.4 The Girsanov Theorem
3.5 Invariance of the Hypothesis
3.6 G-Intensity of Default Time
3.7 Single-Name CDS Market
3.8 Multi-Name CDS Market
[4] Hedging of Defaultable Claims
4.1 Semimartingale Market Model
4.2 Trading Strategies
4.3 Martingale Approach
4.4 PDE Approach
[5] Modeling Dependent Defaults
5.1 Basket Credit Derivatives
5.2 Conditionally Independent Defaults
5.3 Valuation of FTDC and LTDC
5.4 Coupula-Based Approaches
5.5 One-factor Gaussian Copula Model
5.6 Jarrow and Yu Model
5.7 Kusuoka's Model
5.8 Basket Credit Derivatives
5.9 Modeling of Credit Ratings
A Compements
著者略歴
Tomasz R.Bielecki(著)(トーマス・ビーレッキー)
Monique Jeanblanc(著)(モニク・ジャンブラン)
Marek Rutkowski (著)(マレク・ルトコクスキー)
(上記内容は本書刊行時のものです。)
