作者: 向前變橢圓 時間: 2025-3-21 22:50 作者: 都相信我的話 時間: 2025-3-22 04:18 作者: 注視 時間: 2025-3-22 05:16 作者: Inclement 時間: 2025-3-22 10:19
The Genesis of Credit-Risk Modellingo the genesis of the field of credit-risk modelling. This chapter focuses exclusively on this approach. Not only would it be an injustice to ignore this still-pertinent model, but it offers a range of useful insights into the class of threshold models. The Merton (1974, ., 449–470) framework was con作者: 摘要記錄 時間: 2025-3-22 12:58
A Regulatory Perspectivesions. Regulators, in a slightly alternative context, perform a similar task. They face, however, a rather different set of constraints and objectives. Regulators, in fact, use standardized models to promote fairness, a level playing field, monitor the solvency of individual entities, and enhance ov作者: 摘要記錄 時間: 2025-3-22 20:33
Monte Carlo Methodsnveterately in previous chapters. Care and caution are always advisable when employing a complex numerical technique. Prudence is particularly appropriate, in this context, because default is a rare event. Unlike the asset-pricing setting, where we typically simulate expectations in the central part作者: hieroglyphic 時間: 2025-3-22 23:06
Default and Asset Correlationn of default probabilities, addressed in the previous chapter, the characterization of default dependence is model dependent rendering this task more difficult. Since different models incorporate the relationship between obligor defaults in alternative ways, dependence is governed by some subset of 作者: 廢除 時間: 2025-3-23 04:20 作者: Erythropoietin 時間: 2025-3-23 08:21
Bestehende und potenzielle Wettbewerber, default, the following discussion thus walks through its implementation—both numerically and analytically—in the context of our concrete portfolio example. It also explores its asymptotic properties and provides an alternative entry point, which will aid in expanding this foundation in the followin作者: COWER 時間: 2025-3-23 12:37 作者: 沒有準(zhǔn)備 時間: 2025-3-23 14:09 作者: 異端 時間: 2025-3-23 21:00 作者: Respond 時間: 2025-3-24 00:17 作者: paltry 時間: 2025-3-24 05:46 作者: nonplus 時間: 2025-3-24 07:15 作者: Bridle 時間: 2025-3-24 12:28 作者: 蚊子 時間: 2025-3-24 15:40 作者: 裝勇敢地做 時間: 2025-3-24 20:20 作者: 朋黨派系 時間: 2025-3-25 01:50 作者: Shuttle 時間: 2025-3-25 06:18
The Genesis of Credit-Risk Modellingrect and direct approaches. The indirect approach will turn out to be quite familiar, whereas the direct method requires a significant amount of heavy lifting for its implementation. As in previous chapters, parameter calibration options are explored and both methods are applied to practical portfol作者: 種類 時間: 2025-3-25 09:19
A Regulatory PerspectiveGaussian threshold model. Portfolio invariance implies that the risk of the portfolio is independent of the overall portfolio structure and depends only on the characteristics of the individual exposures. Expedient rather than realistic, this choice reduces the computational and system burden on reg作者: 傻 時間: 2025-3-25 12:20 作者: 有限 時間: 2025-3-25 16:10 作者: 小溪 時間: 2025-3-25 22:45 作者: tenuous 時間: 2025-3-26 03:27 作者: Aphorism 時間: 2025-3-26 05:49
Book 2018 finance practitioners. It is, unfortunately, a topic with a high degree of technical complexity. Addressing this challenge, this book provides a comprehensive and attainable mathematical and statistical discussion of a broad range of existing default-risk models. Model description and derivation, h作者: 鬼魂 時間: 2025-3-26 12:04
g the models, diagnostic tools, and estimation of key inputsThe risk of counterparty default in banking, insurance, institutional, and pension-fund portfolios is an area of ongoing and increasing importance for finance practitioners. It is, unfortunately, a topic with a high degree of technical comp作者: Dappled 時間: 2025-3-26 16:13
David Jamieson BolderDemonstrates 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作者: 娘娘腔 時間: 2025-3-26 19:01 作者: osteocytes 時間: 2025-3-27 00:50
https://doi.org/10.1007/978-3-319-94688-7python code; monte carlo; financial engineering; model risk; risk modeling; default risk; binomial models; 作者: BLANC 時間: 2025-3-27 03:13 作者: 采納 時間: 2025-3-27 09:22
Wettbewerbsorientierte Portfolios,his chapter thus begins by explaining the purview of credit-risk perspectives adopted, or scope, in the following discussion. The subsequent chapters, to be clear, consider static, structural and reduced-form, credit-risk models in a portfolio setting from a predominately risk-management perspective作者: 一再煩擾 時間: 2025-3-27 11:19
Bestehende und potenzielle Wettbewerber,dent Bernoulli trials, a binomial default-loss distribution emerges. A critical assumption of this introductory approach, however, is statistical independence between the default of various obligors in one’s portfolio. While of great mathematical convenience, this is an indefensible supposition. Not作者: synovium 時間: 2025-3-27 16:51
Bestehende und potenzielle Wettbewerber,ing, but the tails of the associated loss distribution are overly thin and its asymptotic behaviour is simply too well behaved. This chapter offers a family of approaches—generally referred to as mixture or actuarial models—to address each of these shortcomings. The principle idea behind this new me作者: choleretic 時間: 2025-3-27 17:46 作者: blight 時間: 2025-3-27 22:26 作者: achlorhydria 時間: 2025-3-28 03:11
Nichtmetallisch-anorganische Werkstoffe,sions. Regulators, in a slightly alternative context, perform a similar task. They face, however, a rather different set of constraints and objectives. Regulators, in fact, use standardized models to promote fairness, a level playing field, monitor the solvency of individual entities, and enhance ov作者: exceed 時間: 2025-3-28 09:46 作者: Exclaim 時間: 2025-3-28 14:16
