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Copula methods in finance [[electronic resource] /] / Umberto Cherubini, Elisa Luciano, and Walter Vecchiato
| Copula methods in finance [[electronic resource] /] / Umberto Cherubini, Elisa Luciano, and Walter Vecchiato |
| Autore | Cherubini Umberto |
| Pubbl/distr/stampa | Hoboken, NJ, : John Wiley & Sons, c2004 |
| Descrizione fisica | 1 online resource (311 p.) |
| Disciplina | 332/.01/519535 |
| Altri autori (Persone) |
LucianoElisa
VecchiatoWalter |
| Collana | Wiley finance series |
| Soggetto topico | Finance - Mathematical models |
| ISBN |
1-118-67333-6
1-280-27169-8 9786610271696 0-470-86345-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Copula Methods in Finance; Contents; Preface; List of Common Symbols and Notations; 1 Derivatives Pricing, Hedging and Risk Management: The State of the Art; 1.1 Introduction; 1.2 Derivative pricing basics: the binomial model; 1.2.1 Replicating portfolios; 1.2.2 No-arbitrage and the risk-neutral probability measure; 1.2.3 No-arbitrage and the objective probability measure; 1.2.4 Discounting under different probability measures; 1.2.5 Multiple states of the world; 1.3 The Black-Scholes model; 1.3.1 Ito's lemma; 1.3.2 Girsanov theorem; 1.3.3 The martingale property; 1.3.4 Digital options
1.4 Interest rate derivatives1.4.1 Affine factor models; 1.4.2 Forward martingale measure; 1.4.3 LIBOR market model; 1.5 Smile and term structure effects of volatility; 1.5.1 Stochastic volatility models; 1.5.2 Local volatility models; 1.5.3 Implied probability; 1.6 Incomplete markets; 1.6.1 Back to utility theory; 1.6.2 Super-hedging strategies; 1.7 Credit risk; 1.7.1 Structural models; 1.7.2 Reduced form models; 1.7.3 Implied default probabilities; 1.7.4 Counterparty risk; 1.8 Copula methods in finance: a primer; 1.8.1 Joint probabilities, marginal probabilities and copula functions 1.8.2 Copula functions duality1.8.3 Examples of copula functions; 1.8.4 Copula functions and market comovements; 1.8.5 Tail dependence; 1.8.6 Equity-linked products; 1.8.7 Credit-linked products; 2 Bivariate Copula Functions; 2.1 Definition and properties; 2.2 Fréchet bounds and concordance order; 2.3 Sklar's theorem and the probabilistic interpretation of copulas; 2.3.1 Sklar's theorem; 2.3.2 The subcopula in Sklar's theorem; 2.3.3 Modeling consequences; 2.3.4 Sklar's theorem in financial applications: toward a non-Black-Scholes world; 2.4 Copulas as dependence functions: basic facts 2.4.1 Independence2.4.2 Comonotonicity; 2.4.3 Monotone transforms and copula invariance; 2.4.4 An application: VaR trade-off; 2.5 Survival copula and joint survival function; 2.5.1 An application: default probability with exogenous shocks; 2.6 Density and canonical representation; 2.7 Bounds for the distribution functions of sum of r.v.s; 2.7.1 An application: VaR bounds; 2.8 Appendix; 3 Market Comovements and Copula Families; 3.1 Measures of association; 3.1.1 Concordance; 3.1.2 Kendall's τ; 3.1.3 Spearman's ρS; 3.1.4 Linear correlation; 3.1.5 Tail dependence 3.1.6 Positive quadrant dependency3.2 Parametric families of bivariate copulas; 3.2.1 The bivariate Gaussian copula; 3.2.2 The bivariate Student's t copula; 3.2.3 The Fréchet family; 3.2.4 Archimedean copulas; 3.2.5 The Marshall-Olkin copula; 4 Multivariate Copulas; 4.1 Definition and basic properties; 4.2 Fréchet bounds and concordance order: the multidimensional case; 4.3 Sklar's theorem and the basic probabilistic interpretation: the multidimensional case; 4.3.1 Modeling consequences; 4.4 Survival copula and joint survival function 4.5 Density and canonical representation of a multidimensional copula |
| Record Nr. | UNINA-9910145018903321 |
Cherubini Umberto
|
||
| Hoboken, NJ, : John Wiley & Sons, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Copula methods in finance / / Umberto Cherubini, Elisa Luciano, and Walter Vecchiato
| Copula methods in finance / / Umberto Cherubini, Elisa Luciano, and Walter Vecchiato |
| Autore | Cherubini Umberto |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hoboken, NJ, : John Wiley & Sons, c2004 |
| Descrizione fisica | 1 online resource (311 p.) |
| Disciplina | 332/.01/519535 |
| Altri autori (Persone) |
LucianoElisa
VecchiatoWalter |
| Collana | Wiley finance series |
| Soggetto topico | Finance - Mathematical models |
| ISBN |
1-118-67333-6
1-280-27169-8 9786610271696 0-470-86345-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Copula Methods in Finance; Contents; Preface; List of Common Symbols and Notations; 1 Derivatives Pricing, Hedging and Risk Management: The State of the Art; 1.1 Introduction; 1.2 Derivative pricing basics: the binomial model; 1.2.1 Replicating portfolios; 1.2.2 No-arbitrage and the risk-neutral probability measure; 1.2.3 No-arbitrage and the objective probability measure; 1.2.4 Discounting under different probability measures; 1.2.5 Multiple states of the world; 1.3 The Black-Scholes model; 1.3.1 Ito's lemma; 1.3.2 Girsanov theorem; 1.3.3 The martingale property; 1.3.4 Digital options
1.4 Interest rate derivatives1.4.1 Affine factor models; 1.4.2 Forward martingale measure; 1.4.3 LIBOR market model; 1.5 Smile and term structure effects of volatility; 1.5.1 Stochastic volatility models; 1.5.2 Local volatility models; 1.5.3 Implied probability; 1.6 Incomplete markets; 1.6.1 Back to utility theory; 1.6.2 Super-hedging strategies; 1.7 Credit risk; 1.7.1 Structural models; 1.7.2 Reduced form models; 1.7.3 Implied default probabilities; 1.7.4 Counterparty risk; 1.8 Copula methods in finance: a primer; 1.8.1 Joint probabilities, marginal probabilities and copula functions 1.8.2 Copula functions duality1.8.3 Examples of copula functions; 1.8.4 Copula functions and market comovements; 1.8.5 Tail dependence; 1.8.6 Equity-linked products; 1.8.7 Credit-linked products; 2 Bivariate Copula Functions; 2.1 Definition and properties; 2.2 Fréchet bounds and concordance order; 2.3 Sklar's theorem and the probabilistic interpretation of copulas; 2.3.1 Sklar's theorem; 2.3.2 The subcopula in Sklar's theorem; 2.3.3 Modeling consequences; 2.3.4 Sklar's theorem in financial applications: toward a non-Black-Scholes world; 2.4 Copulas as dependence functions: basic facts 2.4.1 Independence2.4.2 Comonotonicity; 2.4.3 Monotone transforms and copula invariance; 2.4.4 An application: VaR trade-off; 2.5 Survival copula and joint survival function; 2.5.1 An application: default probability with exogenous shocks; 2.6 Density and canonical representation; 2.7 Bounds for the distribution functions of sum of r.v.s; 2.7.1 An application: VaR bounds; 2.8 Appendix; 3 Market Comovements and Copula Families; 3.1 Measures of association; 3.1.1 Concordance; 3.1.2 Kendall's τ; 3.1.3 Spearman's ρS; 3.1.4 Linear correlation; 3.1.5 Tail dependence 3.1.6 Positive quadrant dependency3.2 Parametric families of bivariate copulas; 3.2.1 The bivariate Gaussian copula; 3.2.2 The bivariate Student's t copula; 3.2.3 The Fréchet family; 3.2.4 Archimedean copulas; 3.2.5 The Marshall-Olkin copula; 4 Multivariate Copulas; 4.1 Definition and basic properties; 4.2 Fréchet bounds and concordance order: the multidimensional case; 4.3 Sklar's theorem and the basic probabilistic interpretation: the multidimensional case; 4.3.1 Modeling consequences; 4.4 Survival copula and joint survival function 4.5 Density and canonical representation of a multidimensional copula |
| Record Nr. | UNINA-9910827529003321 |
|
Cherubini Umberto
|
||
| Hoboken, NJ, : John Wiley & Sons, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Copula methods in finance / Umberto Cherubini, Elisa Luciano, and Walter Vecchiato
| Copula methods in finance / Umberto Cherubini, Elisa Luciano, and Walter Vecchiato |
| Autore | Cherubini, Umberto |
| Pubbl/distr/stampa | Hoboken, NJ : John Wiley & Sons, c2004 |
| Descrizione fisica | xvi, 293 p. : ill. ; 26 cm |
| Disciplina | 332.01519535 |
| Altri autori (Persone) |
Luciano, Elisaauthor
Vecchiato, Walter |
| Collana | Wiley finance series |
| Soggetto topico | Finance - Mathematical models |
| ISBN | 0470863447 |
| Classificazione |
AMS 91B28
LC HG106.C49 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991000497699707536 |
|
Cherubini, Umberto
|
||
| Hoboken, NJ : John Wiley & Sons, c2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Counterparty credit risk, collateral and funding [[electronic resource] ] : with pricing cases for all asset classes / / Damiano Brigo, Massimo Morini, Andrea Pallavicini
| Counterparty credit risk, collateral and funding [[electronic resource] ] : with pricing cases for all asset classes / / Damiano Brigo, Massimo Morini, Andrea Pallavicini |
| Autore | Brigo Damiano |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Chichester, England, : Wiley, c2013 |
| Descrizione fisica | 1 online resource (465 p.) |
| Disciplina | 332.701/5195 |
| Altri autori (Persone) |
PallaviciniAndrea
MoriniMassimo |
| Collana | Wiley Finance |
| Soggetto topico |
Finance - Mathematical models
Credit - Mathematical models Credit derivatives - Mathematical models Financial risk - Mathematical models |
| ISBN |
1-118-81858-X
0-470-66167-4 0-470-66178-X 1-299-31589-5 0-470-66249-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Counterparty Credit Risk, Collateral and Funding; Contents; Ignition; Abbreviations and Notation; PART I COUNTERPARTY CREDIT RISK, COLLATERAL AND FUNDING; 1 Introduction; 1.1 A Dialogue on CVA; 1.2 Risk Measurement: Credit VaR; 1.3 Exposure, CE, PFE, EPE, EE, EAD; 1.4 Exposure and Credit VaR; 1.5 Interlude: P and Q; 1.6 Basel; 1.7 CVA and Model Dependence; 1.8 Input and Data Issues on CVA; 1.9 Emerging Asset Classes: Longevity Risk; 1.10 CVA and Wrong Way Risk; 1.11 Basel III: VaR of CVA and Wrong Way Risk; 1.12 Discrepancies in CVA Valuation: Model Risk and Payoff Risk
1.13 Bilateral Counterparty Risk: CVA and DVA1.14 First-to-Default in CVA and DVA; 1.15 DVA Mark-to-Market and DVA Hedging; 1.16 Impact of Close-Out in CVA and DVA; 1.17 Close-Out Contagion; 1.18 Collateral Modelling in CVA and DVA; 1.19 Re-Hypothecation; 1.20 Netting; 1.21 Funding; 1.22 Hedging Counterparty Risk: CCDS; 1.23 Restructuring Counterparty Risk: CVA-CDOs and Margin Lending; 2 Context; 2.1 Definition of Default: Six Basic Cases; 2.2 Definition of Exposures; 2.3 Definition of Credit Valuation Adjustment (CVA); 2.4 Counterparty Risk Mitigants: Netting 2.5 Counterparty Risk Mitigants: Collateral2.5.1 The Credit Support Annex (CSA); 2.5.2 The ISDA Proposal for a New Standard CSA; 2.5.3 Collateral Effectiveness as a Mitigant; 2.6 Funding; 2.6.1 A First Attack on Funding Cost Modelling; 2.6.2 The General Funding Theory and its Recursive Nature; 2.7 Value at Risk (VaR) and Expected Shortfall (ES) of CVA; 2.8 The Dilemma of Regulators and Basel III; 3 Modelling the Counterparty Default; 3.1 Firm Value (or Structural) Models; 3.1.1 The Geometric Brownian Assumption; 3.1.2 Merton's Model; 3.1.3 Black and Cox's (1976) Model 3.1.4 Credit Default Swaps and Default Probabilities3.1.5 Black and Cox (B&C) Model Calibration to CDS: Problems; 3.1.6 The AT1P Model; 3.1.7 A Case Study with AT1P: Lehman Brothers Default History; 3.1.8 Comments; 3.1.9 SBTV Model; 3.1.10 A Case Study with SBTV: Lehman Brothers Default History; 3.1.11 Comments; 3.2 Firm Value Models: Hints at the Multiname Picture; 3.3 Reduced Form (Intensity) Models; 3.3.1 CDS Calibration and Intensity Models; 3.3.2 A Simpler Formula for Calibrating Intensity to a Single CDS; 3.3.3 Stochastic Intensity: The CIR Family 3.3.4 The Cox-Ingersoll-Ross Model (CIR) Short-Rate Model for r3.3.5 Time-Inhomogeneous Case: CIR++ Model; 3.3.6 Stochastic Diffusion Intensity is Not Enough: Adding Jumps. The JCIR(++) Model; 3.3.7 The Jump-Diffusion CIR Model (JCIR); 3.3.8 Market Incompleteness and Default Unpredictability; 3.3.9 Further Models; 3.4 Intensity Models: The Multiname Picture; 3.4.1 Choice of Variables for the Dependence Structure; 3.4.2 Firm Value Models?; 3.4.3 Copula Functions; 3.4.4 Copula Calibration, CDOs and Criticism of Copula Functions; PART II PRICING COUNTERPARTY RISK: UNILATERAL CVA 4 Unilateral CVA and Netting for Interest Rate Products |
| Record Nr. | UNINA-9910139058703321 |
|
Brigo Damiano
|
||
| Chichester, England, : Wiley, c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Counting statistics for dependent random events : with a focus on finance / / Enrico Bernardi and Silvia Romagnoli
| Counting statistics for dependent random events : with a focus on finance / / Enrico Bernardi and Silvia Romagnoli |
| Autore | Bernardi Enrico <1838-1900, > |
| Pubbl/distr/stampa | Cham, Switzerland : , : Springer, , [2021] |
| Descrizione fisica | 1 online resource (213 pages) : illustrations |
| Disciplina | 519.535 |
| Soggetto topico |
Dependence (Statistics)
Copulas (Mathematical statistics) Finance - Mathematical models Dependència (Estadística) Finances Models matemàtics |
| Soggetto genere / forma | Llibres electrònics |
| ISBN | 3-030-64250-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- Preface -- List of Common Symbols, Notations, and Acronyms -- Contents -- Part I The Main Ingredients -- 1 Clustering -- 1.1 Preliminary on Clustering -- 1.2 The Similarity Measure for Static Data -- 1.3 The Similarity Measure for Time Series -- 1.3.1 Model-Free Approaches -- 1.3.2 Model-Based Approaches -- 1.4 Hierarchical Algorithm -- 1.5 Partitioning Algorithm -- 1.5.1 k-Means Clustering -- 1.6 Neural Network Models -- 1.6.1 Clustering Algorithms -- 1.6.2 Kohonen Self-Organizing Maps -- 1.7 Search-Based Approaches -- 1.7.1 Evolutionary Approaches for Clustering -- 1.7.2 Simulated Annealing Approach -- 1.8 A Clustering Exercise on the European Banking System -- References -- 2 Copula Function and C-Volume -- 2.1 Copula Functions -- 2.1.1 Fréchet-Hoeffding Bounds of a n-Dimensional Copula and Association Measures -- 2.2 Families of Copulas -- 2.2.1 Elliptical Copulas -- Gaussian Copulas -- Student's t Copula -- 2.2.2 Archimedean Copulas -- 2.2.3 Extreme-Value Copulas -- 2.3 Pure Hierarchical Copulas -- 2.4 Hierarchical Grouping Copulas -- 2.4.1 Clusterized Homogeneous and Clusterized Hierarchical Copulas -- 2.4.2 Hierarchical Kendall Copulas -- 2.5 Volume of an n-Dimensional Copula -- 2.5.1 Clusterized Hierarchical Copulas: CHY-Volume -- 2.6 Example: Homogeneous CHY-Volume Versus CR Algorithm -- 2.6.1 Scalability of the Homogeneous CHY-Based Algorithm -- References -- 3 Combinatorics and Random Matrices: A Brief Review -- 3.1 Combinatoric Distribution of a Random Event -- 3.1.1 Permutations: Ordered Selection -- 3.1.2 Combinations: Unordered Selection -- 3.1.3 The Hardy-Ramanujan Asymptotic Partition Formula -- 3.1.4 The Combinatorial Problem in CHY-Volume Computation -- 3.1.5 Testing Compatibility with the Groups -- 3.2 Random Matrices -- 3.2.1 Gaussian Ensembles -- 3.2.2 An Illustrative Example of a Two-by-Two Random Matrix.
3.2.3 Singular Values of Rectangular Matrices -- 3.2.4 Marchenko-Pastur Distribution -- 3.2.5 The Distorted Combinatoric Distributions -- References -- Part II Mixing the Ingredients: A Recipe for a New Aggregation Algorithm -- 4 Counting a Random Event: Traditional Approach and New Perspectives -- 4.1 Counting Variables: Fundamentals in Literature -- 4.1.1 Generalized Poisson Distribution -- 4.1.2 Compound Poisson Distribution -- 4.2 Counting Process: Fundamentals in Literature -- 4.2.1 Counting Processes in Credit Risk Models: The Intensity-Based Approach -- 4.3 A New Combinatoric Approach for Counting -- 4.3.1 A Counting Variable Linked to a Clusterized Homogeneous Dependence Structure -- 4.3.2 Clusterized Homogeneous Copulas: CHC-Volume -- 4.3.3 Preparing the CHC-Computation -- 4.3.4 CHC and CHY Computation -- 4.3.5 The Volume of a Clusterized Copula: CHC and CHY -- 4.3.6 Pdf of a Counting Variable Linked to a CHC: A Formal Approach -- 4.3.7 The Boxes' Definition for the CHC-Volume Computation -- 4.3.8 The Dynamic Version of the Combinatoric-Approach -- References -- 5 A New Copula-Based Approach for Counting: The Distorted and the Limiting Case -- 5.1 The Distorted Copula-Based Approach: Fatal Event -- 5.1.1 From a Not Distorted to a Distorted Structure: A Probabilistic Discussion -- 5.1.2 Distorted Copula-Based Distribution of a Fatal Counting Variable -- 5.2 The Distorted Copula-Based Approach: Not Fatal Event -- 5.2.1 The Distorted Copula-Based Distribution of a Not Fatal Counting Variable -- 5.2.2 A Pseudo-Spectral Analysis of the Arrival Matrices -- 5.3 High-Dimensional Problems: The Pure Limiting Models -- 5.4 High-Dimensional Problems: The Limiting Clusterized Copulas -- 5.4.1 Hierarchical Limiting Model: A Credit Risk Application -- The Within Classes Computing Step -- The Between Classes Aggregation Step -- Case 1 -- Case 2 -- Case 3. 5.4.2 Hierarchical Hybrid Copulas: A Credit Risk Application -- 5.4.3 Check for the Groups' Cardinality: The HYC Model -- References -- 6 Real Data Empirical Applications -- 6.1 HYC-Based Model for a Worldwide Sovereign Debt Large Portfolio -- 6.2 Risk Evaluation Based on HYC Model: A Credit-Exposed European Investment Portfolio Analysis -- 6.2.1 Copula-Based Loss Distribution -- 6.2.2 Calibration of the Dependencies -- 6.2.3 HYC Model: Portfolio Application -- 6.2.4 HYC-VaR versus CM-VaR: an Empirical In-Sample Experiment -- Hypothesis -- CM Model -- HYC Model -- 6.3 Structural and Marginal Distortion in a Credit-Exposed Portfolio: a DHC Application -- 6.4 A Bayesian Analysis of the DHC Model -- 6.4.1 Multivariate Dependence Calibration -- 6.4.2 The Loss Function: Index Versus Replicating Portfolio -- 6.4.3 A Bayesian Analysis on the Residuals -- References -- References. |
| Record Nr. | UNISA-996466544803316 |
|
Bernardi Enrico <1838-1900, >
|
||
| Cham, Switzerland : , : Springer, , [2021] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Counting statistics for dependent random events : with a focus on finance / / Enrico Bernardi and Silvia Romagnoli
| Counting statistics for dependent random events : with a focus on finance / / Enrico Bernardi and Silvia Romagnoli |
| Autore | Bernardi Enrico <1838-1900, > |
| Pubbl/distr/stampa | Cham, Switzerland : , : Springer, , [2021] |
| Descrizione fisica | 1 online resource (213 pages) : illustrations |
| Disciplina | 519.535 |
| Soggetto topico |
Dependence (Statistics)
Copulas (Mathematical statistics) Finance - Mathematical models Dependència (Estadística) Finances Models matemàtics |
| Soggetto genere / forma | Llibres electrònics |
| ISBN | 3-030-64250-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- Preface -- List of Common Symbols, Notations, and Acronyms -- Contents -- Part I The Main Ingredients -- 1 Clustering -- 1.1 Preliminary on Clustering -- 1.2 The Similarity Measure for Static Data -- 1.3 The Similarity Measure for Time Series -- 1.3.1 Model-Free Approaches -- 1.3.2 Model-Based Approaches -- 1.4 Hierarchical Algorithm -- 1.5 Partitioning Algorithm -- 1.5.1 k-Means Clustering -- 1.6 Neural Network Models -- 1.6.1 Clustering Algorithms -- 1.6.2 Kohonen Self-Organizing Maps -- 1.7 Search-Based Approaches -- 1.7.1 Evolutionary Approaches for Clustering -- 1.7.2 Simulated Annealing Approach -- 1.8 A Clustering Exercise on the European Banking System -- References -- 2 Copula Function and C-Volume -- 2.1 Copula Functions -- 2.1.1 Fréchet-Hoeffding Bounds of a n-Dimensional Copula and Association Measures -- 2.2 Families of Copulas -- 2.2.1 Elliptical Copulas -- Gaussian Copulas -- Student's t Copula -- 2.2.2 Archimedean Copulas -- 2.2.3 Extreme-Value Copulas -- 2.3 Pure Hierarchical Copulas -- 2.4 Hierarchical Grouping Copulas -- 2.4.1 Clusterized Homogeneous and Clusterized Hierarchical Copulas -- 2.4.2 Hierarchical Kendall Copulas -- 2.5 Volume of an n-Dimensional Copula -- 2.5.1 Clusterized Hierarchical Copulas: CHY-Volume -- 2.6 Example: Homogeneous CHY-Volume Versus CR Algorithm -- 2.6.1 Scalability of the Homogeneous CHY-Based Algorithm -- References -- 3 Combinatorics and Random Matrices: A Brief Review -- 3.1 Combinatoric Distribution of a Random Event -- 3.1.1 Permutations: Ordered Selection -- 3.1.2 Combinations: Unordered Selection -- 3.1.3 The Hardy-Ramanujan Asymptotic Partition Formula -- 3.1.4 The Combinatorial Problem in CHY-Volume Computation -- 3.1.5 Testing Compatibility with the Groups -- 3.2 Random Matrices -- 3.2.1 Gaussian Ensembles -- 3.2.2 An Illustrative Example of a Two-by-Two Random Matrix.
3.2.3 Singular Values of Rectangular Matrices -- 3.2.4 Marchenko-Pastur Distribution -- 3.2.5 The Distorted Combinatoric Distributions -- References -- Part II Mixing the Ingredients: A Recipe for a New Aggregation Algorithm -- 4 Counting a Random Event: Traditional Approach and New Perspectives -- 4.1 Counting Variables: Fundamentals in Literature -- 4.1.1 Generalized Poisson Distribution -- 4.1.2 Compound Poisson Distribution -- 4.2 Counting Process: Fundamentals in Literature -- 4.2.1 Counting Processes in Credit Risk Models: The Intensity-Based Approach -- 4.3 A New Combinatoric Approach for Counting -- 4.3.1 A Counting Variable Linked to a Clusterized Homogeneous Dependence Structure -- 4.3.2 Clusterized Homogeneous Copulas: CHC-Volume -- 4.3.3 Preparing the CHC-Computation -- 4.3.4 CHC and CHY Computation -- 4.3.5 The Volume of a Clusterized Copula: CHC and CHY -- 4.3.6 Pdf of a Counting Variable Linked to a CHC: A Formal Approach -- 4.3.7 The Boxes' Definition for the CHC-Volume Computation -- 4.3.8 The Dynamic Version of the Combinatoric-Approach -- References -- 5 A New Copula-Based Approach for Counting: The Distorted and the Limiting Case -- 5.1 The Distorted Copula-Based Approach: Fatal Event -- 5.1.1 From a Not Distorted to a Distorted Structure: A Probabilistic Discussion -- 5.1.2 Distorted Copula-Based Distribution of a Fatal Counting Variable -- 5.2 The Distorted Copula-Based Approach: Not Fatal Event -- 5.2.1 The Distorted Copula-Based Distribution of a Not Fatal Counting Variable -- 5.2.2 A Pseudo-Spectral Analysis of the Arrival Matrices -- 5.3 High-Dimensional Problems: The Pure Limiting Models -- 5.4 High-Dimensional Problems: The Limiting Clusterized Copulas -- 5.4.1 Hierarchical Limiting Model: A Credit Risk Application -- The Within Classes Computing Step -- The Between Classes Aggregation Step -- Case 1 -- Case 2 -- Case 3. 5.4.2 Hierarchical Hybrid Copulas: A Credit Risk Application -- 5.4.3 Check for the Groups' Cardinality: The HYC Model -- References -- 6 Real Data Empirical Applications -- 6.1 HYC-Based Model for a Worldwide Sovereign Debt Large Portfolio -- 6.2 Risk Evaluation Based on HYC Model: A Credit-Exposed European Investment Portfolio Analysis -- 6.2.1 Copula-Based Loss Distribution -- 6.2.2 Calibration of the Dependencies -- 6.2.3 HYC Model: Portfolio Application -- 6.2.4 HYC-VaR versus CM-VaR: an Empirical In-Sample Experiment -- Hypothesis -- CM Model -- HYC Model -- 6.3 Structural and Marginal Distortion in a Credit-Exposed Portfolio: a DHC Application -- 6.4 A Bayesian Analysis of the DHC Model -- 6.4.1 Multivariate Dependence Calibration -- 6.4.2 The Loss Function: Index Versus Replicating Portfolio -- 6.4.3 A Bayesian Analysis on the Residuals -- References -- References. |
| Record Nr. | UNINA-9910483919303321 |
|
Bernardi Enrico <1838-1900, >
|
||
| Cham, Switzerland : , : Springer, , [2021] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Credit models and the crisis [[electronic resource] ] : a journey into CDOs, Copulas, correlations and dynamic models / / Damiano Brigo, Andrea Pallavicini, and Roberto Torresetti
| Credit models and the crisis [[electronic resource] ] : a journey into CDOs, Copulas, correlations and dynamic models / / Damiano Brigo, Andrea Pallavicini, and Roberto Torresetti |
| Autore | Brigo Damiano <1966-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester ; ; Hoboken, NJ, : John Wiley & Sons, 2010 |
| Descrizione fisica | 1 online resource (177 p.) |
| Disciplina | 332.01/5195 |
| Altri autori (Persone) |
PallaviciniAndrea
TorresettiRoberto |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Finance - Mathematical models
Credit - Mathematical models Financial crises - Mathematical models |
| ISBN |
1-118-37473-8
1-282-78264-9 9786612782640 0-470-66715-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Credit Models and the Crisis; Contents; Preface; Acknowledgements; About the Authors; Notation and List of Symbols; 1 Introduction: Credit Modelling Pre- and In-Crisis; 2 Market Quotes; 3 Gaussian Copula Model and Implied Correlation; 4 Consistency across Capital Structure: Implied Copula; 5 Consistency across Capital Structure and Maturities: Expected Tranche Loss; 6 A Fully Consistent Dynamical Model: Generalized-Poisson Loss Model; 7 Application to More Recent Data and the Crisis; 8 Final Discussion and Conclusions; Bibliography; Index |
| Record Nr. | UNINA-9910140752403321 |
|
Brigo Damiano <1966->
|
||
| Chichester ; ; Hoboken, NJ, : John Wiley & Sons, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models / / Damiano Brigo, Andrea Pallavicini, and Roberto Torresetti
| Credit models and the crisis : a journey into CDOs, Copulas, correlations and dynamic models / / Damiano Brigo, Andrea Pallavicini, and Roberto Torresetti |
| Autore | Brigo Damiano <1966-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester ; ; Hoboken, NJ, : John Wiley & Sons, 2010 |
| Descrizione fisica | 1 online resource (177 p.) |
| Disciplina | 332.01/5195 |
| Altri autori (Persone) |
PallaviciniAndrea
TorresettiRoberto |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Finance - Mathematical models
Credit - Mathematical models Financial crises - Mathematical models |
| ISBN |
1-118-37473-8
1-282-78264-9 9786612782640 0-470-66715-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Credit Models and the Crisis; Contents; Preface; Acknowledgements; About the Authors; Notation and List of Symbols; 1 Introduction: Credit Modelling Pre- and In-Crisis; 2 Market Quotes; 3 Gaussian Copula Model and Implied Correlation; 4 Consistency across Capital Structure: Implied Copula; 5 Consistency across Capital Structure and Maturities: Expected Tranche Loss; 6 A Fully Consistent Dynamical Model: Generalized-Poisson Loss Model; 7 Application to More Recent Data and the Crisis; 8 Final Discussion and Conclusions; Bibliography; Index |
| Record Nr. | UNINA-9910820076903321 |
|
Brigo Damiano <1966->
|
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| Chichester ; ; Hoboken, NJ, : John Wiley & Sons, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Decisions in economics and finance
| Decisions in economics and finance |
| Pubbl/distr/stampa | [New York], : Springer-Verlag, ©2000- |
| Disciplina | 300.15118 |
| Soggetto topico |
Economics - Mathematical models
Finance - Mathematical models Social sciences - Mathematical models Mathematics Économie politique - Modèles mathématiques Finances - Modèles mathématiques Sciences sociales - Modèles mathématiques Mathématiques Applied Mathematics |
| Soggetto genere / forma | Periodicals. |
| ISSN | 1129-6569 |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | DEF |
| Record Nr. | UNINA-9910142627303321 |
| [New York], : Springer-Verlag, ©2000- | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Decisions in economics and finance
| Decisions in economics and finance |
| Pubbl/distr/stampa | [New York], : Springer-Verlag, ©2000- |
| Disciplina | 300.15118 |
| Soggetto topico |
Economics - Mathematical models
Finance - Mathematical models Social sciences - Mathematical models Mathematics Économie politique - Modèles mathématiques Finances - Modèles mathématiques Sciences sociales - Modèles mathématiques Mathématiques Applied Mathematics |
| Soggetto genere / forma | Periodicals. |
| ISSN | 1129-6569 |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | DEF |
| Record Nr. | UNISA-996206245303316 |
| [New York], : Springer-Verlag, ©2000- | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
