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Credit Correlation: Life After Copulas

Editat de Alexander Lipton, Andrew Rennie
en Limba Engleză Hardback – 31 ian 2008
The global credit derivatives market grew in notional value from $1 trillion to $20 trillion from 2000 to 2006. However, understanding the true nature of these instruments still poses both theoretical and practical challenges. This title presents both the top-down and bottom-up approaches for describing the dynamics of credit baskets.
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Specificații

ISBN-13: 9789812709493
ISBN-10: 9812709495
Pagini: 169
Dimensiuni: 170 x 249 x 15 mm
Greutate: 0.48 kg
Editura: World Scientific Publishing Company

Cuprins

Levy Simple Structural Models (M Baxter); Cluster-Based Extension of the Generalized Poisson Loss Dynamics and Consistency with Single Names (D Brigo et al.); Stochastic Intensity Modeling for Structured Credit Exotics (A Chaposvsky et al.); Large Portfolio Credit Risk Modeling (M H A Davis & J C Esparragoza-Rodriguez); Empirical Copulas for CDO Tranche Pricing Using Relative Entropy (M Dempster et al.); Pricing and Hedging in a Dynamic Credit Model (Y Elouerkhaoui); Joint Distributions of Portfolio Losses and Exotic Portfolio Products (F Epple et al.); On the Term Structure of Loss Distributions: A Forward Model Approach (J Sidenius).