Optimal Control of Credit Risk: Advances in Computational Management Science, cartea 3
Autor Didier Cossin, Felipe M. Aparicio Acostaen Limba Engleză Hardback – 30 apr 2001
The monograph is organized as follows: Chapter 1 reviews the main avenues of literature related to our problem; Chapter 2 provides a brief overview of the main optimal control principles; and Chapter 3 presents the models and their setting.
In the remaining chapters, the authors propose two sets of programs. One set of programs will apply in cases where the information on the assets=value is readily available (full observation case), while the other applies when costly audits are needed in order to assess this value (partial observation case).
In either case, the modeling stage leads to a set of quasi-variational inequalities which the authors attempt to solve numerically in the simpler case of full observations. This is done in Chapter 6. Finally a simulation analysis is carried out in Chapter 7, in which the authors study the influence on the control process of changes in the different model parameters. This precedes a discussion on possible extensions in Chapter 8 and some concluding remarks in Section 9.
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Specificații
ISBN-13: 9780792379386
ISBN-10: 0792379381
Pagini: 102
Ilustrații: VII, 102 p.
Dimensiuni: 155 x 235 x 13 mm
Greutate: 0.33 kg
Ediția:2001
Editura: Springer Us
Colecția Springer
Seria Advances in Computational Management Science
Locul publicării:New York, NY, United States
ISBN-10: 0792379381
Pagini: 102
Ilustrații: VII, 102 p.
Dimensiuni: 155 x 235 x 13 mm
Greutate: 0.33 kg
Ediția:2001
Editura: Springer Us
Colecția Springer
Seria Advances in Computational Management Science
Locul publicării:New York, NY, United States
Public țintă
ResearchCuprins
1. Introduction.- 2. Literature Review.- 1. Guarantee valuation.- 2. Deposit insurance valuation.- 3. Control of guarantees.- 4. Other applications.- 3. Elements of Optimal Control.- 1. Optimal deterministic control.- 2. Optimal stochastic control.- 3. Stochastic impulse control.- 4. The Model.- 1. The underlying process behavior.- 2. Cost of credit risk.- 3. Cost of information.- 4. Forms of control.- 5. Solution Approaches.- 5. Full-Observation Case.- 1. The decision process.- 2. “Single jump” operator approach.- 3. QVI approach.- 6. Partial Observation Case.- 1. The decision process.- 2. QVI approach.- 7. Numerical Approaches.- 8. Simulation Experiments.- 1. Changes in parameters.- 2. Changes in the cost function.- 10. Appendix: Practical Cases.- 1. Guarantees in a private setting.- 2. Guarantees in a public setting.