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Published online by Cambridge University Press:  05 January 2017

Marek Capiński  and
Tomasz Zastawniak
Marek Capiński
Affiliation:
AGH University of Science and Technology, Krakow
Tomasz Zastawniak
Affiliation:
University of York
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Credit Risk , pp. 191 - 192
Publisher: Cambridge University Press
Print publication year: 2016

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References

T. R., Bielecki and M., Rutkowski, Credit Risk: Modelling, Valuation and Hedging. Springer-Verlag, 2002.
T. R., Bielecki, M., Jeanblanc, and M., Rutkowski, Credit Risk Modeling. Osaka University CSFI Lecture Notes Series 2. Osaka University Press, 2009.
T. R., Bielecki, M., Jeanblanc, and M., Rutkowski, Hedging of Credit Derivatives in models with totally unexpected default, in J., Akahori et al. (eds.), Stochastic Processes and Applications to Mathematical Finance. Proceedings of the 5th Ritsumeikan International Symposium. World Scientific Publishing, 2006, pp. 35–100.
C., Blanchet-Scalliet and M., Jeanblanc, Hazard rate for credit risk and hedging defaultable contingent claims, Finance and Stochastics, 8 (2004), pp. 145–159.Google Scholar
C., Bluhm, L., Overbeck, and C., Wagner, Introduction to Credit Risk Modeling, 2nd edn. Chapman & Hall/CRC Financial Mathematics Series. CRC Press, 2010.
D., Cossin and H., Pirotte, Advanced Credit Risk Analysis. John Wiley & Sons Ltd, 2001.
G., Löffler and P. N., Posch, Credit Risk Modeling Using Excel and VBA. John Wiley & Sons Ltd, 2007.
A., Saunders and L., Allen, Credit Risk Measurement, 3rd edn. John Wiley & Sons Ltd, 2010.
P., Schönbucher, Credit Derivatives Pricing Models: Models Pricing and Implementation. John Wiley & Sons Ltd, 2003.

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