[EAN: 9783838381312], Neubuch, [SC: 0.0], [PU: LAP Lambert Academic Publishing], Druck auf Anfrage Neuware - This book deals with the modeling of credit risk by using a structural approac… Mehr…
[EAN: 9783838381312], Neubuch, [SC: 0.0], [PU: LAP Lambert Academic Publishing], Druck auf Anfrage Neuware - This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single firm credit risk, modeling portfolio credit risk and credit risk pricing. First we analyze these questions under the assumptions that firm value follows a geometric Brownian motion and the interest rates are constant. We discuss the weaknesses of the geometric Brownian motion assumption in explaining empirical properties of real data. Then we propose a new extended model in which asset value, volatility and interest rates follow affine jump diffusion processes. In our extended model volatility is stochastic, asset value and volatility has correlated jumps and interest rates are stochastic and have jumps. Finally, we analyze the modeling of single firm credit risk and credit risk pricing by using our extended model and show how our model can be used as a solution for the problems we encounter with simple models. 164 pp. Englisch, Books<
This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single fi… Mehr…
This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single firm credit risk, modeling portfolio credit risk and credit risk pricing. First we analyze these questions under the assumptions that firm value follows a geometric Brownian motion and the interest rates are constant. We discuss the weaknesses of the geometric Brownian motion assumption in explaining empirical properties of real data. Then we propose a new extended model in which asset value, volatility and interest rates follow affine jump diffusion processes. In our extended model volatility is stochastic, asset value and volatility has correlated jumps and interest rates are stochastic and have jumps. Finally, we analyze the modeling of single firm credit risk and credit risk pricing by using our extended model and show how our model can be used as a solution for the problems we encounter with simple models. Bücher > Fremdsprachige Bücher > Englische Bücher 220 x 150 x 10 mm , LAP LAMBERT Academic Publishing, Taschenbuch, LAP LAMBERT Academic Publishing<
Orellfuessli.ch
Nr. A1013713276. Versandkosten:Lieferzeiten außerhalb der Schweiz 3 bis 21 Werktage, , Versandfertig innert 4 - 7 Werktagen, zzgl. Versandkosten. (EUR 18.17) Details...
(*) Derzeit vergriffen bedeutet, dass dieser Titel momentan auf keiner der angeschlossenen Plattform verfügbar ist.
This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single fi… Mehr…
This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single firm credit risk, modeling portfolio credit risk and credit risk pricing. First we analyze these questions under the assumptions that firm value follows a geometric Brownian motion and the interest rates are constant. We discuss the weaknesses of the geometric Brownian motion assumption in explaining empirical properties of real data. Then we propose a new extended model in which asset value, volatility and interest rates follow affine jump diffusion processes. In our extended model volatility is stochastic, asset value and volatility has correlated jumps and interest rates are stochastic and have jumps. Finally, we analyze the modeling of single firm credit risk and credit risk pricing by using our extended model and show how our model can be used as a solution for the problems we encounter with simple models. Bücher, Hörbücher & Kalender / Bücher / Sachbuch / Naturwissenschaften / Mathematik / Stochastik & Statistik<
Dodax.de
Nr. G2BEM1T4KQ0. Versandkosten:, Lieferzeit: zwischen 5 - 7 Werktagen Tage, DE. (EUR 0.00) Details...
(*) Derzeit vergriffen bedeutet, dass dieser Titel momentan auf keiner der angeschlossenen Plattform verfügbar ist.
Credit Risk Modeling ab 67.99 € als Taschenbuch: With Stochastic Volatility Jumps and Stochastic Interest Rates. Aus dem Bereich: Bücher, Taschenbücher, Naturwissenschaft, LAP LAMBERT Aca… Mehr…
Credit Risk Modeling ab 67.99 € als Taschenbuch: With Stochastic Volatility Jumps and Stochastic Interest Rates. Aus dem Bereich: Bücher, Taschenbücher, Naturwissenschaft, LAP LAMBERT Academic Publishing<
Hugendubel.de
Nr. 12352885. Versandkosten:, , zzgl. Versandkosten. (EUR 7.50) Details...
(*) Derzeit vergriffen bedeutet, dass dieser Titel momentan auf keiner der angeschlossenen Plattform verfügbar ist.
[EAN: 9783838381312], Neubuch, [SC: 0.0], [PU: LAP Lambert Academic Publishing], Druck auf Anfrage Neuware - This book deals with the modeling of credit risk by using a structural approac… Mehr…
[EAN: 9783838381312], Neubuch, [SC: 0.0], [PU: LAP Lambert Academic Publishing], Druck auf Anfrage Neuware - This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single firm credit risk, modeling portfolio credit risk and credit risk pricing. First we analyze these questions under the assumptions that firm value follows a geometric Brownian motion and the interest rates are constant. We discuss the weaknesses of the geometric Brownian motion assumption in explaining empirical properties of real data. Then we propose a new extended model in which asset value, volatility and interest rates follow affine jump diffusion processes. In our extended model volatility is stochastic, asset value and volatility has correlated jumps and interest rates are stochastic and have jumps. Finally, we analyze the modeling of single firm credit risk and credit risk pricing by using our extended model and show how our model can be used as a solution for the problems we encounter with simple models. 164 pp. Englisch, Books<
This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single fi… Mehr…
This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single firm credit risk, modeling portfolio credit risk and credit risk pricing. First we analyze these questions under the assumptions that firm value follows a geometric Brownian motion and the interest rates are constant. We discuss the weaknesses of the geometric Brownian motion assumption in explaining empirical properties of real data. Then we propose a new extended model in which asset value, volatility and interest rates follow affine jump diffusion processes. In our extended model volatility is stochastic, asset value and volatility has correlated jumps and interest rates are stochastic and have jumps. Finally, we analyze the modeling of single firm credit risk and credit risk pricing by using our extended model and show how our model can be used as a solution for the problems we encounter with simple models. Bücher > Fremdsprachige Bücher > Englische Bücher 220 x 150 x 10 mm , LAP LAMBERT Academic Publishing, Taschenbuch, LAP LAMBERT Academic Publishing<
Nr. A1013713276. Versandkosten:Lieferzeiten außerhalb der Schweiz 3 bis 21 Werktage, , Versandfertig innert 4 - 7 Werktagen, zzgl. Versandkosten. (EUR 18.17)
This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single fi… Mehr…
This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single firm credit risk, modeling portfolio credit risk and credit risk pricing. First we analyze these questions under the assumptions that firm value follows a geometric Brownian motion and the interest rates are constant. We discuss the weaknesses of the geometric Brownian motion assumption in explaining empirical properties of real data. Then we propose a new extended model in which asset value, volatility and interest rates follow affine jump diffusion processes. In our extended model volatility is stochastic, asset value and volatility has correlated jumps and interest rates are stochastic and have jumps. Finally, we analyze the modeling of single firm credit risk and credit risk pricing by using our extended model and show how our model can be used as a solution for the problems we encounter with simple models. Bücher, Hörbücher & Kalender / Bücher / Sachbuch / Naturwissenschaften / Mathematik / Stochastik & Statistik<
Nr. G2BEM1T4KQ0. Versandkosten:, Lieferzeit: zwischen 5 - 7 Werktagen Tage, DE. (EUR 0.00)
Credit Risk Modeling ab 67.99 € als Taschenbuch: With Stochastic Volatility Jumps and Stochastic Interest Rates. Aus dem Bereich: Bücher, Taschenbücher, Naturwissenschaft, LAP LAMBERT Aca… Mehr…
Credit Risk Modeling ab 67.99 € als Taschenbuch: With Stochastic Volatility Jumps and Stochastic Interest Rates. Aus dem Bereich: Bücher, Taschenbücher, Naturwissenschaft, LAP LAMBERT Academic Publishing<
Nr. 12352885. Versandkosten:, , zzgl. Versandkosten. (EUR 7.50)
1Da einige Plattformen keine Versandkonditionen übermitteln und diese vom Lieferland, dem Einkaufspreis, dem Gewicht und der Größe des Artikels, einer möglichen Mitgliedschaft der Plattform, einer direkten Lieferung durch die Plattform oder über einen Drittanbieter (Marketplace), etc. abhängig sein können, ist es möglich, dass die von eurobuch angegebenen Versandkosten nicht mit denen der anbietenden Plattform übereinstimmen.
This book deals with the modeling of credit risk by using a structural approach. Three fundamental questions of credit risk literature are analyzed throughout the book: modeling single firm credit risk, modeling portfolio credit risk and credit risk pricing. First we analyze these questions under the assumptions that firm value follows a geometric Brownian motion and the interest rates are constant. We discuss the weaknesses of the geometric Brownian motion assumption in explaining empirical properties of real data. Then we propose a new extended model in which asset value, volatility and interest rates follow affine jump diffusion processes. In our extended model volatility is stochastic, asset value and volatility has correlated jumps and interest rates are stochastic and have jumps. Finally, we analyze the modeling of single firm credit risk and credit risk pricing by using our extended model and show how our model can be used as a solution for the problems we encounter with simple models.
Detailangaben zum Buch - Credit Risk Modeling
EAN (ISBN-13): 9783838381312 ISBN (ISBN-10): 3838381319 Taschenbuch Erscheinungsjahr: 2010 Herausgeber: LAP LAMBERT Academic Publishing 164 Seiten Gewicht: 0,266 kg Sprache: eng/Englisch
Buch in der Datenbank seit 2011-05-09T04:00:53+02:00 (Vienna) Detailseite zuletzt geändert am 2022-07-08T21:28:16+02:00 (Vienna) ISBN/EAN: 9783838381312
ISBN - alternative Schreibweisen: 3-8383-8131-9, 978-3-8383-8131-2 Alternative Schreibweisen und verwandte Suchbegriffe: Autor des Buches: yüksel Titel des Buches: interest rate modeling
Weitere, andere Bücher, die diesem Buch sehr ähnlich sein könnten: