Credit risk: Modelling, valuation and hedging

Publication date: 19 August 2001

Published in: Springer Finance (Search for Journal in Brave)

credit derivatives credit risk models finance theory financial engineering first passage-time models Girsanov's theorem mathematical finance reduced-form approach structural approach

Mathematics Subject Classification ID

Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Microeconomic theory (price theory and economic markets) (91B24)

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