Semi-Markov Migration Models for Credit Risk by Guglielmo d’Amico

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  • Title: Semi-Markov Migration Models for Credit Risk
  • Author: Guglielmo d’Amico
  • Category: Other
  • Date: No info
  • Lenguage: English
  • Pages: unknown
  • ISBN: 9781119415121

 

Ebook description:

Credit danger is among the most necessary up to date issues for banks and insurance coverage firms. Indeed, for banks, more than forty % of the equities are essential to cowl this danger. Though this downside is studied by massive ranking companies with substantial financial, social and monetary instruments, constructing stochastic fashions is nonetheless vital to finish this descriptive orientation. This e-book presents a whole presentation of such a category of fashions utilizing homogeneous and non-homogeneous semi-Markov processes developed by the authors in a number of latest papers. This method offers a superb methodology of evaluating the default danger and the classical VaR indicators used for Solvency II and Basel III governance guidelines. This e-book is the primary to current a whole semi-Markov remedy of credit score danger whereas additionally insisting on the sensible use of the fashions offered right here, together with numerical features, in order that this e-book shouldn’t be solely helpful for scientific analysis but additionally to managers working on this area for banks, insurance coverage firms, pension funds and different monetary establishments.

 

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