Copertina di Portfolio Credit Risk Models
Titolo del libro:

Portfolio Credit Risk Models

An Introduction into Probability of Default, Copula Functions and Portfolio Credit Risk Models

LAP LAMBERT Academic Publishing (18.01.2012 )

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ISBN-13:

978-3-8454-4137-5

ISBN-10:
3845441372
EAN:
9783845441375
Lingua del libro:
Inglese
Risvolto di copertina:
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.
Casa editrice:
LAP LAMBERT Academic Publishing
Sito Web:
https://www.lap-publishing.com/
Da (autore):
Michal Rychnovský
Numero di pagine:
76
Pubblicato il:
18.01.2012
Giacenza di magazzino:
Disponibile
categoria:
Matematica
Prezzo:
49,00 €
Parole chiave:
portfolio credit risk, copula models, Probability of Default

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