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Semi-Markov migration models for cre...

D'Amico, Guglielmo.

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Semi-Markov migration models for credit risk /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Semi-Markov migration models for credit risk // Guglielmo d'Amico, Giuseppe Di Biase, Jacques Janssen, and Raimondo Manca.
作者:	D'Amico, Guglielmo.
其他作者:	Biase, Giuseppe,
出版者:	London :ISTE ; : 2017.,
面頁冊數:	xiv, 296 p. :ill. ;24 cm.
標題:	Financial risk management - Mathematical models. -
ISBN:	9781848219052

Semi-Markov migration models for credit risk /
D'Amico, Guglielmo.

Semi-Markov migration models for credit risk /Guglielmo d'Amico, Giuseppe Di Biase, Jacques Janssen, and Raimondo Manca. - London :ISTE ; 2017. - xiv, 296 p. :ill. ;24 cm. - Mathematics and statistics series (ISTE). - Mathematics and statistics series (ISTE).

Includes bibliographical references and index.

Semi-Markov processes mirgration credit risk models --

Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation. This book presents a complete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers. This approach provides a good method of evaluating the default risk and the classical VaR indicators used for Solvency II and Basel III governance rules. This book is the first to present a complete semi-Markov treatment of credit risk while also insisting on the practical use of the models presented here, including numerical aspects, so that this book is not only useful for scientific research but also to managers working in this field for banks, insurance companies, pension funds and other financial institutions. --

ISBN: 9781848219052US129.95Subjects--Topical Terms:

910589
Financial risk management
--Mathematical models.

LC Class. No.: QA274.7 / .S8

Dewey Class. No.: 332.701/519233

Semi-Markov migration models for credit risk /
LDR:02390cam a2200217 a 4500 001 2085633
003 OCoLC
005 20171113013801.0
008 170911s2017 enka 001 0 eng d
020 $a 9781848219052 $q (hbk.) : $c US129.95
020 $a 1848219059 $q (hbk.)
040 $a YDX $b eng
050 # 4 $a QA274.7 $b .S8
082 0 4 $a 332.701/519233 $2 23
100 1 $a D'Amico, Guglielmo. $3 3244788
245 1 0 $a Semi-Markov migration models for credit risk / $c Guglielmo d'Amico, Giuseppe Di Biase, Jacques Janssen, and Raimondo Manca.
260 # $a London : $b ISTE ; $a Hoboken, NJ : $b John Wiley & Sons, $c 2017.
300 $a xiv, 296 p. : $b ill. ; $c 24 cm.
490 1 $a Mathematics and statistics series (ISTE)
490 1 $a Stochastic models for insurance set ; $v v. 1
504 $a Includes bibliographical references and index.
505 0 # $t Semi-Markov processes mirgration credit risk models -- $t Recurrence time HSMP and NHSMP : credit risk applications -- $t Recurrence time credit risk applications -- $t Mono-unireducible Markov and Semi-Markov processes -- $t Non-homogeneous Semi-Markov reward processes and credit spread computation -- $t NHSMP model for the evalution of credit default swaps -- $t Bivariate Semi-Markov processes and related reward processes for counterparty credit risk and credit spreads -- $t Semi-Markov credit risk simulation models.
520 # $a Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation. This book presents a complete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers. This approach provides a good method of evaluating the default risk and the classical VaR indicators used for Solvency II and Basel III governance rules. This book is the first to present a complete semi-Markov treatment of credit risk while also insisting on the practical use of the models presented here, including numerical aspects, so that this book is not only useful for scientific research but also to managers working in this field for banks, insurance companies, pension funds and other financial institutions. -- $c Provided by publisher.
650 # 0 $a Financial risk management $x Mathematical models. $3 910589
700 1 $a Biase, Giuseppe, $3 3244811
700 1 $a Janssen, Jacques, $3 3244812
700 1 $a Manca, Raimondo, $3 3244813
830 0 $a Mathematics and statistics series (ISTE) $3 2184903
830 0 $a Stochastic models for insurance set $3 3244810