Credit Correlation
-15%
portes grátis
Credit Correlation
Theory and Practice
Elouerkhaoui, Youssef
Springer International Publishing AG
08/2018
456
Mole
Inglês
9783319869735
15 a 20 dias
730
Descrição não disponível.
Chapter 1 Credit Modelling Fundamentals - Filtrations, Point Processes and Intensities.- Chapter2 Expectations in the Enlarged Filtration - The Generalized Dellacherie Formula.- Chapter3 The Basics of Default Correlation Modelling.- Chapter4 Default Correlation Calibration - Link between Copulas and Conditional Jump Diffusions.- Chapter5 Correlation Demystified: A General Overview.- Chapter6 An Introduction to the Marshall-Olkin Copula.- Chapter7 Numerical Tools: Basket Asymptotic Expansions.- Chapter8 CDO-Squared: Correlation of Correlation.- Chapter9 Second Generation Models: From Flat Correlation to Correlation Skew.- Chapter10 Third Generation Models: From Static to Dynamic Models.- Chapter11 Pricing in a Dynamic Credit Model.- Chapter12 Practical Applications of Dynamic Models: Pricing Path-Dependent Credit Exotics.- Chapter13 Base Correlation Calibration with a Stochastic Recovery Model.- Chapter14 Hedging in Incomplete Credit Markets: JTD vs CR01.- Chapter15 New Frontiers in Credit Modelling: the CVA Challenge.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
Quantitative Finance;Credit;Theory;Practice;Financial Services
Chapter 1 Credit Modelling Fundamentals - Filtrations, Point Processes and Intensities.- Chapter2 Expectations in the Enlarged Filtration - The Generalized Dellacherie Formula.- Chapter3 The Basics of Default Correlation Modelling.- Chapter4 Default Correlation Calibration - Link between Copulas and Conditional Jump Diffusions.- Chapter5 Correlation Demystified: A General Overview.- Chapter6 An Introduction to the Marshall-Olkin Copula.- Chapter7 Numerical Tools: Basket Asymptotic Expansions.- Chapter8 CDO-Squared: Correlation of Correlation.- Chapter9 Second Generation Models: From Flat Correlation to Correlation Skew.- Chapter10 Third Generation Models: From Static to Dynamic Models.- Chapter11 Pricing in a Dynamic Credit Model.- Chapter12 Practical Applications of Dynamic Models: Pricing Path-Dependent Credit Exotics.- Chapter13 Base Correlation Calibration with a Stochastic Recovery Model.- Chapter14 Hedging in Incomplete Credit Markets: JTD vs CR01.- Chapter15 New Frontiers in Credit Modelling: the CVA Challenge.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
