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1. |
Record Nr. |
UNISA990003115980203316 |
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Titolo |
Maccari e Buzzati al Teatro alla Scala : bozzetti e figurini 1959-1973 : mostra sesta : ridotto dei palchi del Teatro alla Scala / a cura di Giulio Carlo Argan |
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Pubbl/distr/stampa |
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Milano : Amici della Scala, 1991 |
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Descrizione fisica |
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Disciplina |
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Soggetti |
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Buzzati, - Esposizione |
Maccari, Mino Esposizione |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Catalogo della Mostra tenuta a Milano nel 1990 |
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2. |
Record Nr. |
UNINA9910830547203321 |
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Autore |
FONG H. |
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Titolo |
The credit market handbook [[electronic resource] ] : advanced modeling issues / / H. Gifford Fong, Editor |
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Pubbl/distr/stampa |
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Hoboken, N.J., : Wiley, c2006 |
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ISBN |
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1-119-20189-6 |
1-280-31180-0 |
9786610311804 |
0-471-78719-1 |
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Edizione |
[1st edition] |
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Descrizione fisica |
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1 online resource (254 p.) |
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Collana |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Credit - Mathematical models |
Risk management - Mathematical models |
Default (Finance) - Mathematical models |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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The Credit Market Handbook; Contents; Introduction; Executive Chapter Summaries; CHAPTER 1 ESTIMATING DEFAULT PROBABILITIES IMPLICIT IN EQUITY PRICES; CHAPTER 2 PREDICTIONS OF DEFAULT PROBABILITIES IN STRUCTURAL MODELS OF DEBT; CHAPTER 3 SURVEY OF THE RECENT LITERATURE: RECOVERY RISK; CHAPTER 4 NON-PARAMETRIC ANALYSIS OF RATING TRANSITION AND DEFAULT DATA; CHAPTER 5 VALUING HIGH-YIELD BONDS: A BUSINESS MODELING APPROACH; CHAPTER 6 STRUCTURAL VERSUS REDUCED-FORM MODELS: A NEW INFORMATION-BASED PERSPECTIVE |
CHAPTER 7 REDUCED FORM VERSUS STRUCTURAL MODELS OF CREDIT RISK: A CASE STUDY OF THREE MODELSCHAPTER 8 IMPLICATIONS OF CORRELATED DEFAULT FOR PORTFOLIO ALLOCATION TO CORPORATE BONDS; CHAPTER 9 CORRELATED DEFAULT PROCESSES: A CRITERION-BASED COPULA APPROACH; Chapter 1: Estimating Default Probabilities Implicit in Equity Prices; 1. INTRODUCTION; 2. THE MODEL STRUCTURE; 3. DESCRIPTION OF THE DATA; 4. ESTIMATION OF THE STATE VARIABLE PROCESS PARAMETERS; 5. EQUITY RETURN ESTIMATION; 6. ANALYSIS OF THE TIME SERIES PROPERTIES OF THE PARAMETERS |
7. ANALYSIS OF FAMA-FRENCH FOUR-FACTOR MODEL WITH NO DEFAULT8. ANALYSIS OF A BUBBLE COMPONENT (P/E RATIO) IN STOCK PRICES; 9. ANALYSIS OF THE DEFAULT INTENSITY; 10. RELATIVE PERFORMANCE OF THE EQUITY RETURN MODELS; 11. COMPARISON OF DEFAULT INTENSITIES BASED ON DEBT VERSUS EQUITY; 12. CONCLUSIONS; NOTES; REFERENCES; APPENDIX; Chapter 2: Predictions of Default Probabilities in Structural Models of Debt; 1. INTRODUCTION; 2. RECENT EMPIRICAL STUDIES; 3. STRUCTURAL MODELS AND DEFAULT RISK; 4. THE DEFAULT BOUNDARY IN EXOGENOUS AND ENDOGENOUS CASES |
5. THE DEFAULT PROBABILITY WITH CONSTANT DEFAULT BARRIER6. CALIBRATION OF MODELS: THE BASE CASE; 7. MATCHING EMPIRICAL DEFAULT FREQUENCIES WITH THE L-T MODEL; 8. MATCHING EMPIRICAL DPS WITH THE L-S MODEL; 9. THE MOODY'S-KMV APPROACH; 10. SOME PRELIMINARY THOUGHTS ON THE RELATIONSHIP BETWEEN THE KMV APPROACH AND L-S/L-T; 11. CONCLUSIONS; ACKNOWLEDGMENTS; POSTSCRIPT; APPENDIX; NOTES; REFERENCES; Chapter 3: Survey of the Recent Literature: Recovery Risk; 1. INTRODUCTION; 2. EMPIRICAL ATTRIBUTES; 3. RECOVERY CONVENTIONS; 4. RECOVERY IN STRUCTURAL MODELS; 5. RECOVERY IN REDUCED-FORM MODELS |
6. MEASURE TRANSFORMATIONS7. SUMMARY ANDSPECULATION; REFERENCES; Chapter 4: Non-Parametric Analysis of Rating Transition and Default Data; 1. INTRODUCTION; 2. DATA AND OUTLINE OF METHODOLOGY; 3. ESTIMATING TRANSITION INTENSITIES IN TWO DIMENSIONS; 4. ONE-DIMENSIONAL HAZARDS AND MARGINAL INTEGRATION; 5. CONFIDENCE INTERVALS; 6. TRANSITIONS: DEPENDENCE ON PREVIOUS MOVE AND DURATION; 7. MULTIPLICATIVE INTENSITIES; 8. CONCLUDING REMARKS; ACKNOWLEDGMENTS; NOTES; REFERENCES; Chapter 5: Valuing High-Yield Bonds: A Business Modeling Approach; 1. INTRODUCTION; 2. SPECIFICATION OF THE MODEL |
3. A NUMERICAL ILLUSTRATION |
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Sommario/riassunto |
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In The Credit Market Handbook, financial expert and Editor H. Gifford Fong has assembled a group of prominent professionals and academics familiar with the credit arena. In each chapter, a different expert analyzes a different issue related to today's dynamic credit market, including portfolio credit risk, valuation models, and the importance of |
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modeling credit default.In bringing together these noted authors and their work, Fong provides you with a rich framework of research in the area of credit analysis. Some of the topics discussed within this comprehensive guide include:* Esti |
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