{"product_id":"credit-risk-modeling-von-ayhan-yuksel","title":"Credit Risk Modeling","description":"\u003cp\u003eThis book deals with the modeling of credit risk by  using a structural approach. Three fundamental  questions of credit risk literature are analyzed  throughout the book: modeling single firm credit  risk, modeling portfolio credit risk and credit risk  pricing. First we analyze these questions under the  assumptions that firm value follows a geometric  Brownian motion and the interest rates are constant.  We discuss the weaknesses of the geometric Brownian  motion assumption in explaining empirical properties  of real data. Then we propose a new extended model  in which asset value, volatility and interest rates  follow affine jump diffusion processes. In our  extended model volatility is stochastic, asset value  and volatility has correlated jumps and interest  rates are stochastic and have jumps. Finally, we  analyze the modeling of single firm credit risk and  credit risk pricing by using our extended model and  show how our model can be used as a solution for the  problems we encounter with simple models.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783838381312\"\u003e\u003ch3\u003eWith Stochastic Volatility, Jumps and Stochastic Interest Rates\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783838381312","offer_id":39486564794461,"sku":"9783838381312","price":68.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/bb40efe8-ae5a-4f74-b4c2-a528c6b4df8f.jpg?v=1774683244","url":"https:\/\/shop.autorenwelt.de\/products\/credit-risk-modeling-von-ayhan-yuksel","provider":"Autorenwelt Shop","version":"1.0","type":"link"}