David Jamieson Bolder: Credit-Risk Modelling

Cover: 9783030069001 | Credit-Risk Modelling | David Jamieson Bolder | Taschenbuch | xxxv

Rückseite: 9783030069001 | Credit-Risk Modelling | David Jamieson Bolder | Taschenbuch | xxxv

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Sprache: Englisch

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Beschreibung

Demonstrates a broad range of state-of-the-art credit-risk models and underscores their interlinkages

Includes extensive Python code to bring the models, diagnostic tools, and estimation of key inputs parameters to life

Combination of mathematical foundations and practical Python code implementation enriches the reader's understanding and competence in this important field

Über den Autor

David Jamieson Bolder is currently head of the World Bank Group's (WBG) model-risk function. Prior to this appointment, he provided analytic support to the Bank for International Settlements' (BIS) treasury and asset-management functions and worked in quantitative roles at the Bank of Canada, the World Bank Treasury, and the European Bank for Reconstruction and Development. He has authored numerous papers, articles, and chapters in books on financial modelling, stochastic simulation, and optimization. He has also published a comprehensive book on fixed-income portfolio analytics. His career has focused on the application of mathematical techniques towards informing decision-making in the areas of sovereign-debt, pension-fund, portfolio-risk, and foreign-reserve management.

Zusammenfassung

Demonstrates a broad range of state-of-the-art credit-risk models and underscores their interlinkages

Includes extensive Python code to bring the models, diagnostic tools, and estimation of key inputs parameters to life

Combination of mathematical foundations and practical Python code implementation enriches the reader's understanding and competence in this important field

Inhaltsverzeichnis

Getting Started.- Part I Modelling Frameworks.- A Natural First Step.-Mixture or Actuarial Models.- Threshold Models.-The Genesis of Credit-Risk Modelling.- Part II Diagnostic Tools.- A Regulatory Perspective.- Risk Attribution.- Monte Carlo Methods.- Part III Parameter Estimation.- Default Probabilities.- Default and Asset Correlation.

Details

Erscheinungsjahr:	2019
Fachbereich:	Betriebswirtschaft
Genre:	Recht , Sozialwissenschaften , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
Inhalt:	xxxv 684 S. 130 farbige Illustr. 684 p. 130 illus. in color.
ISBN-13:	9783030069001
ISBN-10:	3030069001
Sprache:	Englisch
Einband:	Kartoniert / Broschiert
Autor:	Bolder, David Jamieson
Hersteller:	Springer Palgrave Macmillan Springer International Publishing AG
Verantwortliche Person für die EU:	Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com
Maße:	235 x 155 x 39 mm
Von/Mit:	David Jamieson Bolder
Erscheinungsdatum:	12.01.2019
Gewicht:	1,072 kg