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Modeling Multi-period Corporate Defaults

Autor Tuohua Wu
en Limba Engleză Paperback – mar 2013
This book explores various channels for default clustering. The probability of extreme default losses in U.S. corporate portfolio is much greater than that estimated from model containing only observed macroeconomic variables. The additional sources of default clustering are provided by direct contagion and latent frailty factor. I build a top-down proportional hazard rate model with self-exciting specification. I develop efficient method of moment for parameter estimation and goodness-of-fit tests for the default counting process. My estimates are based on U.S. public firms between 1970 and 2008. I find strong evidence that contagion and frailty are equally important in capturing large portfolio losses. My empirical findings can be used by banks and credit portfolio managers for economic capital calculations and dynamic risk management.
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Specificații

ISBN-13: 9783639512274
ISBN-10: 3639512278
Pagini: 104
Dimensiuni: 150 x 220 x 7 mm
Greutate: 0.17 kg
Editura: Scholars' Press

Notă biografică

Tuohua Wu was born in Wenzhou, China on July 28 1984. In July 2006, he received his Bachelor of Science degree in Mathematics from Tsinghua University in Beijing, China. He obtained his Ph.D. degreee in Operations Research at Cornell University in August 2010 with a concentration in Financial Engineering. He now works at Citigroup in New York.