LEADER 00886nam0-22002771i-450- 001 990004503350403321 005 19990530 035 $a000450335 035 $aFED01000450335 035 $a(Aleph)000450335FED01 035 $a000450335 100 $a19990530d1986----km-y0itay50------ba 101 0 $aita 105 $ay-------001yy 200 1 $aCORPUS Troporum V$eLes deux tropaires d'Apt, mss.17 et 18$fInventaire analytique de mss. et edition des textes uniques par Gunilla Bjorkvall 210 $aStockholm$cAlmquist e Wiksell$d1986 215 $a442 p.$d23 cm 225 1 $aActa Universitatis Stockholmiensis. Studia Latina Stockholmiensia$v32 702 1$aBjorkvall,$bGunilla 801 0$aIT$bUNINA$gRICA$2UNIMARC 901 $aBK 912 $a990004503350403321 952 $a7/VIIIF2(32)$bs.i.$fFLFBC 959 $aFLFBC 996 $aCORPUS Troporum V$9547661 997 $aUNINA LEADER 05420nam 2200685Ia 450 001 9910139014503321 005 20200520144314.0 010 $a1-118-81850-4 010 $a1-299-46491-2 010 $a1-119-96604-3 035 $a(CKB)2550000001019393 035 $a(EBL)1166787 035 $a(SSID)ssj0000906655 035 $a(PQKBManifestationID)11577535 035 $a(PQKBTitleCode)TC0000906655 035 $a(PQKBWorkID)10855777 035 $a(PQKB)11738542 035 $a(MiAaPQ)EBC1166787 035 $a(Au-PeEL)EBL1166787 035 $a(CaPaEBR)ebr10687821 035 $a(CaONFJC)MIL477741 035 $a(OCoLC)839660044 035 $a(PPN)18385246X 035 $a(EXLCZ)992550000001019393 100 $a20130411d2013 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aCredit securitisations and derivatives$b[electronic resource] $echallenges for the global markets /$fDaniel Rosch, Harald Scheule 205 $a2nd ed. 210 $aNew York $cWiley$d2013 215 $a1 online resource (464 p.) 225 1 $aThe Wiley Finance Series 300 $aDescription based upon print version of record. 311 $a1-119-96396-6 327 $aCredit Securitizations and Derivatives: Challenges for the Global Markets; Contents; Foreword; PART I INTRODUCTION; 1 Credit Securitizations and Derivatives; 1.1 Economic Cycles and Credit Portfolio Risk; 1.2 Credit Portfolio Risk Measurement; 1.3 Credit Portfolio Risk Tranching; 1.4 Credit Ratings; 1.5 Actuarial vs. Market Credit Risk Pricing; 1.6 Regulation; 1.7 Thank You; References; 2 Developments in Structured Finance Markets; 2.1 Impairments of Asset-Backed Securities and Outstanding Ratings; 2.2 Issuance of Asset-backed Securities and Outstanding Volume 327 $a2.3 Global CDO Issuance and Outstanding VolumeConcluding Remarks; Notes; References; PART II CREDIT PORTFOLIO RISK MEASUREMENT; 3 Mortgage Credit Risk; 3.1 Introduction; 3.2 Five ""C""s of Credit and Mortgage Credit Risk; 3.3 Determinants of Mortgage Default, Loss Given Default and Exposure at Default; 3.3.1 Determinants of Mortgage Default; 3.3.2 Determinants of Mortgage LGD; 3.3.3 Determinants of Mortgage EAD; 3.4 Modeling Methods for Default, LGD and EAD; 3.5 Model Risk Management; 3.6 Conclusions; References; 4 Credit Portfolio Correlations and Uncertainty; 4.1 Introduction 327 $a4.2 Gaussian and Semi-Gaussian Single Risk Factor Model4.3 Individual and Simultaneous Confidence Bounds and Intervals; 4.4 Confidence Intervals for Asset Correlations; 4.5 Confidence Intervals for Default and Survival Time Correlations; 4.5.1 Confidence Intervals for Default Correlations; 4.5.2 Confidence Intervals for Survival Time Correlations; 4.6 Example; 4.7 Conclusion; Appendix; Notes; References; 5 Credit Portfolio Correlations with Dynamic Leverage Ratios; 5.1 Introduction; 5.2 The Hui et al. (2007) Model; 5.2.1 The Method of Images for Constant Coefficients 327 $a5.2.2 The Method of Images for Time-Varying Coefficients5.3 Modelling Default Correlations in a Two-Firm Model; 5.3.1 Default Correlations; 5.3.2 A Two-Firm Model with Dynamic Leverage Ratios; 5.3.3 Method of Images for Constant Coefficients at Certain Values of £l12; 5.3.4 Method of Images for Time-Varying Coefficients at Certain Values of £l12; 5.3.5 Alternative Methodologies for General Values of £l12; 5.4 Numerical Results; 5.4.1 Accuracy; 5.4.2 The Impact of Correlation between Two Firms; 5.4.3 The Impact of Dfferent Credit Quality Paired Firms; 5.4.4 The Impact of Volatilities 327 $a5.4.5 The Impact of Drift Levels5.4.6 The Impact of Initial Value of Leverage Ratio Levels; 5.4.7 Impact of Correlation between Firms and Interest Rates; 5.4.8 The Price of Credit-Linked Notes; 5.5 Conclusion; Notes; References; 6 A Hierarchical Model of Tail-Dependent Asset Returns; 6.1 Introduction; 6.2 The Variance Compound Gamma Model; 6.2.1 Multivariate Process for Logarithmic Asset Returns; 6.2.2 Dependence Structure; 6.2.3 Sampling; 6.2.4 Copula Properties; 6.3 An Application Example; 6.3.1 Portfolio Setup; 6.3.2 Test Portfolios; 6.3.3 Parameter Setup; 6.3.4 Simulation Results 327 $a6.4 Importance Sampling Algorithm 330 $aA comprehensive resource providing extensive coverage of the state of the art in credit secruritisations, derivatives, and risk management Credit Securitisations and Derivatives is a one-stop resource presenting the very latest thinking and developments in the field of credit risk. Written by leading thinkers from academia, the industry, and the regulatory environment, the book tackles areas such as business cycles; correlation modelling and interactions between financial markets, institutions, and instruments in relation to securitisations and credit derivatives; credit portfo 410 0$aWiley finance series. 606 $aCapital assets pricing model 606 $aAsset-backed financing$zEurope 615 0$aCapital assets pricing model. 615 0$aAsset-backed financing 676 $a332.6 676 $a332.7 700 $aRosch$b Daniel$0991889 701 $aScheule$b Harald$0991890 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910139014503321 996 $aCredit securitisations and derivatives$92270003 997 $aUNINA