Credit risk pricing models

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This new edition significantly expands and updates my earlier work, focusing on credit risk models and providing a comprehensive overview of the subject. While the first edition was based on my PhD research, this version encompasses all key credit risk models, emphasizing the explanation of credit risk factors and presenting the latest findings in default probability and recovery rate modeling. Correlation issues receive special attention. The financial instruments discussed include defaultable bonds, swaps, single counterparty credit derivatives, and extend to multi-counterparty instruments such as index swaps, basket default swaps, and collateralized debt obligations. I am grateful to Springer-Verlag for their support in this endeavor and appreciate the feedback from readers of the first edition. Special thanks go to Uli Göser for his patience and encouragement, as well as to my family, particularly my sister Wendy, for their unwavering support. The content includes an introduction that outlines motivation, objectives, and structure, followed by detailed modeling of credit risk factors, definitions, and elements of credit risk, as well as methods for modeling transition and default probabilities.