This new edition is a greatly extended and updated version of my earlier monograph"
Pricing Credit Linked Financial Instruments"(Schmid 2002). Whereas the first edition …

A proposed model is used to account for both the recovery rate and regime-switching
uncertainties for pricing credit-risky bonds. A two-factor hazard rate model (TFHRM) is also …

The management of credit risky assets requires simulation models that integrate the
disparate sources of credit and market risk, and suitable optimization models for scenario …

We discuss extensions of reduced-form and structural models for pricing credit risky
securities to portfolio simulation and valuation. Stochasticity in interest rates and credit …

We present a cascade model which uses fundamental macroeconomic processes, like
inflation rates and GDP growth rates, to describe the evolution of interest rates and equity …

In this article, a framework for the joint modelling of default and recovery risk is presented.
The model accounts for typical characteristics known from empirical studies, eg negative …

In this article, the dependence of aggregated recovery rates on various explanatory
variables is examined. This study is based on a unique dataset covering almost 40000 …

Based on the models of Hull & White (1990) for the pricing of non-defaultable bonds and
Schmid & Zagst (2000) for the pricing of defaultable bonds we develop a framework for the …

Die vorliegende Arbeit entstand im Rahmen meiner Tätigkeit als wissenschaftlicher
Mitarbeiter am Lehrstuhl für Statistik der Universität Regensburg. Sie wurde unter dem Titel" …

Peter Grundke vergleicht die Bewertungsergebnisse verschiedener Ansätze zur
Bestimmung risikoadäquater Preise für ausfallbedrohte Finanztitel. Er analysiert zudem …