Téléchargez le livre : Semi-Markov Migration Models for Credit Risk

Semi-Markov Migration Models for Credit Risk

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Wiley-ISTE


Paru le : 2017-06-01

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Description

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.
 
Pages
316 pages
Collection
n.c
Parution
2017-06-01
Marque
Wiley-ISTE
EAN papier
9781848219052
EAN PDF
9781119415114
Informations sur l'ebook
Nombre pages copiables
0
Nombre pages imprimables
316
Taille du fichier
6789 Ko
Prix
163,47 €
EAN EPUB
9781119415121
Informations sur l'ebook
Nombre pages copiables
0
Nombre pages imprimables
316
Taille du fichier
17357 Ko
Prix
163,47 €

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