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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 online resource (234 p.) |
| Soggetto non controllato |
admissible convex risk measures
auto-regressive Big Data capital allocation capital market pricing model cartography conditional Value-at-Risk (CoVaR) convex programming copula models CoVaR credit risk current drawdown data science deep learning efficient frontier estimation error financial markets financial mathematics financial regulation fractional Kelly allocation growth optimal portfolio independence assumption International Financial Reporting Standard 9 loss given default Markowitz portfolio theory multi-step ahead forecasts non-stationarity ordered probit portfolio theory quantile regression quantitative risk management random matrices risk measure risk-based portfolios shrinkage stock prices structural models systemic risk systemic risk measures target matrix utility functions value at risk weighted logistic regression Wishart model |
| 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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