Semi-Markov Migration Models for Credit Risk

Semi-Markov Migration Models for Credit Risk
Author :
Publisher : John Wiley & Sons
Total Pages : 318
Release :
ISBN-10 : 9781848219052
ISBN-13 : 1848219059
Rating : 4/5 (059 Downloads)

Book Synopsis Semi-Markov Migration Models for Credit Risk by : Guglielmo D'Amico

Download or read book Semi-Markov Migration Models for Credit Risk written by Guglielmo D'Amico and published by John Wiley & Sons. This book was released on 2017-06-26 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation. This book presents a complete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers. This approach provides a good method of evaluating the default risk and the classical VaR indicators used for Solvency II and Basel III governance rules. This book is the first to present a complete semi-Markov treatment of credit risk while also insisting on the practical use of the models presented here, including numerical aspects, so that this book is not only useful for scientific research but also to managers working in this field for banks, insurance companies, pension funds and other financial institutions.


Semi-Markov Migration Models for Credit Risk Related Books

Semi-Markov Migration Models for Credit Risk
Language: en
Pages: 318
Authors: Guglielmo D'Amico
Categories: Mathematics
Type: BOOK - Published: 2017-06-26 - Publisher: John Wiley & Sons

DOWNLOAD EBOOK

Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are
Credit Risk Modeling in a Semi-Markov Process Environment
Language: en
Pages:
Authors: Alfredo Camacho Valle
Categories:
Type: BOOK - Published: 2013 - Publisher:

DOWNLOAD EBOOK

In recent times, credit risk analysis has grown to become one of the most important problems dealt with in the mathematical finance literature. Fundamentally, t
Semi-Markov Risk Models for Finance, Insurance and Reliability
Language: en
Pages: 441
Authors: Jacques Janssen
Categories: Mathematics
Type: BOOK - Published: 2007-05-15 - Publisher: Springer Science & Business Media

DOWNLOAD EBOOK

Everyone working in related fields from applied mathematicians to statisticians to actuaries and operations researchers will find this a brilliantly useful prac
Non-Homogeneous Markov Chains and Systems
Language: en
Pages: 473
Authors: P.-C.G. Vassiliou
Categories: Mathematics
Type: BOOK - Published: 2022-12-21 - Publisher: CRC Press

DOWNLOAD EBOOK

Non-Homogeneous Markov Chains and Systems: Theory and Applications fulfills two principal goals. It is devoted to the study of non-homogeneous Markov chains in
VaR Methodology for Non-Gaussian Finance
Language: en
Pages: 176
Authors: Marine Habart-Corlosquet
Categories: Business & Economics
Type: BOOK - Published: 2013-05-06 - Publisher: John Wiley & Sons

DOWNLOAD EBOOK

With the impact of the recent financial crises, more attention must be given to new models in finance rejecting “Black-Scholes-Samuelson” assumptions leadin