Zur Startseite gehen
0,00 €*
Cover: 9783845441375 | Portfolio Credit Risk Models | Michal Rychnovský | Taschenbuch | 76 S.
Dekorationsartikel gehören nicht zum Leistungsumfang.
Portfolio Credit Risk Models
An Introduction into Probability of Default, Copula Functions and Portfolio Credit Risk Models
Taschenbuch von Michal Rychnovský
Sprache: Englisch

43,45 €*

inkl. MwSt.

Versandkostenfrei per Post / DHL

Lieferzeit 4-7 Werktage

Kategorien:
Beschreibung
Long before the Global Financial Crisis in the late-2000s, many academics and professionals were discussing the adequacy of using so called Gaussian copula models to evaluate the risk of collateralized debt obligations (CDOs). Many of them pointed out that such models are too simplifying the complicated correlation structure of portfolios. Indeed, this was afterwards identified as one of the key factors spreading the crisis. In this book, we would like to introduce the basic mathematical theory of the copula-based portfolio credit risk models and some of their generalizations. We start by introducing the terms of probability of default and expected loss, as well as some common obligor models. Then we give an example of a duo basket model, followed by mathematical definitions of copulas and various dependence measures. Finally, we focus on threshold models and their limit behavior for the number of loans going to infinity. This book is written in a scientifically rigorous but still easy-to-read style providing many new insights into this topic.
Long before the Global Financial Crisis in the late-2000s, many academics and professionals were discussing the adequacy of using so called Gaussian copula models to evaluate the risk of collateralized debt obligations (CDOs). Many of them pointed out that such models are too simplifying the complicated correlation structure of portfolios. Indeed, this was afterwards identified as one of the key factors spreading the crisis. In this book, we would like to introduce the basic mathematical theory of the copula-based portfolio credit risk models and some of their generalizations. We start by introducing the terms of probability of default and expected loss, as well as some common obligor models. Then we give an example of a duo basket model, followed by mathematical definitions of copulas and various dependence measures. Finally, we focus on threshold models and their limit behavior for the number of loans going to infinity. This book is written in a scientifically rigorous but still easy-to-read style providing many new insights into this topic.
Über den Autor
Studied Mathematics at the Charles University in Prague, Stochastics at the VU University Amsterdam, and Quantitative Economics at the University of Economics in Prague. Works as a Credit Risk Manager at the PPF Group N.V.
Details
Erscheinungsjahr: 2012
Fachbereich: Allgemeines
Genre: Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Taschenbuch
Inhalt: 76 S.
ISBN-13: 9783845441375
ISBN-10: 3845441372
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Rychnovský, Michal
Hersteller: LAP LAMBERT Academic Publishing
Maße: 220 x 150 x 5 mm
Von/Mit: Michal Rychnovský
Erscheinungsdatum: 18.01.2012
Gewicht: 0,131 kg
Artikel-ID: 106649154
Über den Autor
Studied Mathematics at the Charles University in Prague, Stochastics at the VU University Amsterdam, and Quantitative Economics at the University of Economics in Prague. Works as a Credit Risk Manager at the PPF Group N.V.
Details
Erscheinungsjahr: 2012
Fachbereich: Allgemeines
Genre: Mathematik
Rubrik: Naturwissenschaften & Technik
Medium: Taschenbuch
Inhalt: 76 S.
ISBN-13: 9783845441375
ISBN-10: 3845441372
Sprache: Englisch
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Rychnovský, Michal
Hersteller: LAP LAMBERT Academic Publishing
Maße: 220 x 150 x 5 mm
Von/Mit: Michal Rychnovský
Erscheinungsdatum: 18.01.2012
Gewicht: 0,131 kg
Artikel-ID: 106649154
Warnhinweis

Ähnliche Produkte

Ähnliche Produkte

Buch
Cover: 9780521551144 | Multidimensional Real Analysis I | Differentiation | Buch | Englisch
Multidimensional Real Analysis I
Differentiation
EAN: 9780521551144
Sprache: Englisch
Von/Mit: J. J. Duistermaat (u. a.)

86,40 €*

Aktuell nicht verfügbar

Taschenbuch
Cover: 9783668167124 | Flächeninhalt von Rechtecken. Übung und Vertiefung im...
Flächeninhalt von Rechtecken. Übung und Vertiefung im Mathematikunterricht (Klasse 4)
Mit ausführlichen Analysen, Verlaufsplan, Tafelbild und Materialien
EAN: 9783668167124
Sprache: Deutsch
Von/Mit: Anonymous

17,95 €*

Lieferzeit 2-4 Werktage

Buch
Cover: 9783319315553 | Topics in Banach Space Theory | Nigel J. Kalton (u. a.) | Buch | xx
Topics in Banach Space Theory
EAN: 9783319315553
Sprache: Englisch
Von/Mit: Nigel J. Kalton (u. a.)

80,85 €*

Lieferzeit 1-2 Wochen

Buch
Cover: 9783319023670 | A Course in Point Set Topology | John B. Conway | Buch | XII | 2013
A Course in Point Set Topology
EAN: 9783319023670
Sprache: Englisch
Von/Mit: John B. Conway

63,55 €*

Lieferzeit 1-2 Wochen

Taschenbuch
Cover: 9781461265665 | C++ and Object-Oriented Numeric Computing for Scientists and Engineers
C++ and Object-Oriented Numeric Computing for Scientists and Engineers
EAN: 9781461265665
Sprache: Englisch
Von/Mit: Daoqi Yang

69,54 €*

Aktuell nicht verfügbar

Buch
Cover: 9783642153273 | Algorithms Unplugged | Berthold Vöcking (u. a.) | Buch | x | Englisch
Algorithms Unplugged
EAN: 9783642153273
Sprache: Englisch
Von/Mit: Berthold Vöcking (u. a.)

102,95 €*

Lieferzeit 1-2 Wochen

Buch
Cover: 9783319637808 | Singular Limits in Thermodynamics of Viscous Fluids | Novotný (u. a.)
Singular Limits in Thermodynamics of Viscous Fluids
EAN: 9783319637808
Sprache: Englisch
Von/Mit: Antonín Novotný (u. a.)

171,19 €*

Aktuell nicht verfügbar

Taschenbuch
Cover: 9783030342081 | Mathematics in Computing | Gerard O¿Regan | Taschenbuch | Paperback
Mathematics in Computing
An Accessible Guide to Historical, Foundational and Application Contexts
EAN: 9783030342081
Sprache: Englisch
Von/Mit: Gerard O¿Regan

53,49 €*

Aktuell nicht verfügbar

Taschenbuch
Cover: 9780008670887 | Cambridge IGCSE(TM) Maths Revision Guide | Andrew Milne (u. a.) | Buch
Cambridge IGCSE(TM) Maths Revision Guide
EAN: 9780008670887
Sprache: Englisch
Von/Mit: Andrew Milne (u. a.)
Maße: 211 x 297 x 14 mm

25,35 €*

Lieferzeit 1-2 Wochen

Taschenbuch
Cover: 9781848904651 | Semitopology. Decentralised Collaborative Action via Topology,...
Semitopology. Decentralised Collaborative Action via Topology, Algebra, and Logic
EAN: 9781848904651
Sprache: Englisch
Von/Mit: Murdoch J. Gabbay

31,40 €*

Lieferzeit 1-2 Wochen

Diese Website verwendet Cookies, um eine bestmögliche Erfahrung bieten zu können. Mehr Informationen ...