Jump to ratings and reviews
Rate this book

Probability and Stochastic Processes with Applications in Credit Risk

Rate this book
Ideal for a one-semester course on mathematical probability, with examples and applications from credit risk, this self-contained text provides an introduction to the probabilistic concepts underlying the best practice credit risk models as they are used in banks today. Each chapter first presents the theory of the topic to give readers a solid background. The second part of each chapter provides applications to credit risk. The author provides mathematical proofs for all theorems and propositions. He covers such topics as random measures, probability distributions, limit theorems, stochastic simulation, Markov chains, and Brownian motion.

306 pages, Hardcover

First published June 1, 2013

1 person want to read

About the author

Ratings & Reviews

What do you think?
Rate this book

Friends & Following

Create a free account to discover what your friends think of this book!

Community Reviews

5 stars
0 (0%)
4 stars
0 (0%)
3 stars
0 (0%)
2 stars
0 (0%)
1 star
0 (0%)
No one has reviewed this book yet.

Can't find what you're looking for?

Get help and learn more about the design.