附註:Previous edition: 1995.
Includes bibliographical references and index.
Integrated risk management; value-at-risk measuring; credit risk and required capital; managing default risk in portfolios of derivatives; simulating for the long term; hedging contingent claims on risky financial instruments; derivative credit risk -- the modelling perspective; capital allocation -- a capital problem.
摘要:A guide to techniques and developments for managing derivative credit risk. This second edition has been updated, and contains six new chapters on key areas such as the credit risk of credit derivatives, problems of asset allocation, modelling and simulation and credit default swaps. -- Provided by publisher.
