Kapitel in diesem Buch

1. Frontmatter i
2. Contents vii
3. Preface xi
4. 1 An Overview 1
5. 2 Corporate Liabilities as Contingent Claims 7
6. 3 Endogenous Default Boundaries and Optimal Capital Structure 59
7. 4 Statistical Techniques for Analyzing Defaults 75
8. 5 Intensity Modeling 109
9. 6 Rating-Based Term-Structure Models 145
10. 7 Credit Risk and Interest-Rate Swaps 169
11. 8 Credit Default Swaps, CDOs, and Related Products 197
12. 9 Modeling Dependent Defaults 213
13. Appendix A Discrete-Time Implementation 251
14. Appendix B Some Results Related to Brownian Motion 259
15. Appendix C Markov Chains 267
16. Appendix D Stochastic Calculus for Jump-Diffusions 275
17. Appendix E A Term-Structure Workhorse 291
18. References 297
19. Index 307