
Credit-Risk Modelling
Kurzinformation



inkl. MwSt. Versandinformationen
Artikel zZt. nicht lieferbar
Artikel zZt. nicht lieferbar

Beschreibung
The 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 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, however, is only part of the story. Through use of exhaustive practical examples and extensive code illustrations in the Python programming language, this work also explicitly shows the reader how these models are implemented. Bringing these complex approaches to life by combining the technical details with actual real-life Python code reduces the burden of model complexity and enhances accessibility to this decidedly specialized field of study. The entire work is also liberally supplemented with model-diagnostic, calibration, and parameter-estimation techniques to assist the quantitative analyst in day-to-day implementation as well as in mitigating model risk. Written by an active and experienced practitioner, it is an invaluable learning resource and reference text for financial-risk practitioners and an excellent source for advanced undergraduate and graduate students seeking to acquire knowledge of the key elements of this discipline. von Bolder, David Jamieson
Produktdetails

So garantieren wir Dir zu jeder Zeit Premiumqualität.
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.
- Gebunden
- 360 Seiten
- Erschienen 2011
- Wiley
- Hardcover -
- Erschienen 2007
- Springer
- Hardcover
- 240 Seiten
- Erschienen 2010
- John Wiley & Sons Inc
- Gebunden
- 437 Seiten
- Erschienen 2004
- Springer
- Kartoniert
- 839 Seiten
- Erschienen 2016
- Schäffer-Poeschel
- Hardcover -
- Erschienen 2013
- Springer Spektrum
- hardcover
- 592 Seiten
- Erschienen 2002
- Wiley
- Taschenbuch -
- Erschienen 2023
- Mohr Siebeck