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Credit Rating Migration Risks in Structure Models
By Jin Liang
0 - Default Title
Description
The book first introduced the financial background and preliminary mathematical theory. Then two mainstream mathematical models for measuring default risks, the reduced form model and structure model, are presented. The structure model for measuring credit rating migration risks is the main part of the book and authors prove the existence, uniqueness, regularities, asymptotic behavior, traveling wave and other properties of the solutions of the model. The structural credit rating migration model is also extended to more general case, such as stochastic interest rate, multiple ratings, region switch and so on. Some credit derivatives, and numerical analysis, parameter calibration and estimate of the migration boundary of the models are given in the last two chapters.
The book focuses on theoretical financial investigators, especially financial mathematical researchers and students. The book is involved various mathematical models, such as PDE, numerical simulation etc., some of them are interesting mathematical problems, so that, and a good reference book to study mathematical modeling in credit rating migration. It might also be used as a textbook for students in financial credit risks.
Product details
Binding:
Paperback
Number of Pages:
288
Release Date:
2025-07-06
Publication Date:
2025-07-06
Publisher:
Springer
Languages:
Original:
English
ISBN10:
9819721814
ISBN13:
9789819721818
GPSR Manufacturer Reference:
Weight:
441 g
Height:
155 cm
Width:
235 cm
Thickness:
16 cm
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