Credit Treasury

This book presents the state-of-the-art with respect to credit risk evaluation and pricing within the contemporary global banking and financial system. It focuses on credit pricing in illiquid, liquid and hybrid markets. No one with any connection to the credit management business will be able to do without it.

Introduction PART I: PRICING IN LIQUID MARKETS Introduction The Merton Structural Default Model Nelson-Siegel: A Parametric Approach PART II: PRICING IN NON LIQUID MARKETS Intro ...