2018  Buch
CreditRisk Modelling
Theoretical Foundations, Diagnostic Tools, Practical Examples, and Numerical Recipes in Python
Über dieses Buch
The risk of counterparty default in banking, insurance, institutional, and pensionfund portfolios is an area of ongoing and increasing importance for finance practitioners. It is, unfortunately, a topic with a high degree of technical complexity. Addressing this challenge, this book provides a comprehensive and attainable mathematical and statistical discussion of a broad range of existing defaultrisk models. Model description and derivation, however, is only part of the story. Through use of exhaustive practical examples and extensive code illustrations in the Python programming language, this work also explicitly shows the reader how these models are implemented. Bringing these complex approaches to life by combining the technical details with actual reallife Python code reduces the burden of model complexity and enhances accessibility to this decidedly specialized field of study. The entire work is also liberally supplemented with modeldiagnostic, calibration, and parameterestimation techniques to assist the quantitative analyst in daytoday implementation as well as in mitigating model risk. Written by an active and experienced practitioner, it is an invaluable learning resource and reference text for financialrisk practitioners and an excellent source for advanced undergraduate and graduate students seeking to acquire knowledge of the key elements of this discipline.
 Titel
 CreditRisk Modelling
 Print ISBN
 9783319946870
 Electronic ISBN
 9783319946887
 CopyrightJahr
 2018
 DOI

https://doi.org/10.1007/9783319946887
 Autor:

David Jamieson Bolder
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