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Advances in Credit Risk Modeling and Management
| Advances in Credit Risk Modeling and Management |
| Autore | Vrins Frédéric |
| Pubbl/distr/stampa | Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2020 |
| Descrizione fisica | 1 electronic resource (190 p.) |
| Soggetto topico | Coins, banknotes, medals, seals (numismatics) |
| Soggetto non controllato |
recovery rates
beta regression credit risk contingent convertible debt financial modelling risk management financial crisis recovery rate loss given default model ambiguity default time no-arbitrage reduced-form HJM models recovery process Counterparty Credit Risk Hidden Markov Model Risk Factor Evolution Backtesting FX rate Geometric Brownian Motion trade credit small and micro-enterprises financial non-financial variables risk assessment logistic regression probability of default wrong-way risk dependence urn model counterparty risk credit valuation adjustment (CVA) XVA (X-valuation adjustments) compression genetic algorithm |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910557403603321 |
Vrins Frédéric
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| Basel, Switzerland, : MDPI - Multidisciplinary Digital Publishing Institute, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Computational Methods for Risk Management in Economics and Finance
| Computational Methods for Risk Management in Economics and Finance |
| Autore | Resta Marina |
| Pubbl/distr/stampa | MDPI - Multidisciplinary Digital Publishing Institute, 2020 |
| Descrizione fisica | 1 electronic resource (234 p.) |
| Soggetto non controllato |
growth optimal portfolio
Wishart model conditional Value-at-Risk (CoVaR) systemic risk utility functions current drawdown risk measure risk-based portfolios capital market pricing model systemic risk measures Big Data International Financial Reporting Standard 9 cartography stock prices copula models CoVaR quantitative risk management auto-regressive fractional Kelly allocation independence assumption deep learning structural models financial regulation data science efficient frontier weighted logistic regression estimation error financial markets capital allocation multi-step ahead forecasts target matrix value at risk random matrices credit risk portfolio theory convex programming admissible convex risk measures non-stationarity financial mathematics quantile regression Markowitz portfolio theory shrinkage loss given default ordered probit |
| ISBN | 3-03928-499-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910404091803321 |
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Resta Marina
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| MDPI - Multidisciplinary Digital Publishing Institute, 2020 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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