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Synopsis
Optimal Control of Credit Risk presents an alternative methodology to deal with a financial problem that has not been well analyzed yet: the control of credit risk. Credit risk has become recently the center of interest of the financial community, with new instruments (such as Credit Risk Derivatives) and new methodologies (such as Credit Metrics) being developed. The recent literature has focused on the pricing of credit risk. On the other hand, practitioners tend to eliminate credit risk rather than price it. They do so via collateralization. The authors propose here a methodological basis for an optimal collateralization.
The monograph is organized as follows: Chapter 1 reviews the main avenues of literature related to our problem; Chapter 2 provides a brief overview of the main optimal control principles; and Chapter 3 presents the models and their setting.
In the remaining chapters, the authors propose two sets of programs. One set of programs will apply in cases where the information on the assets=value is readily available (full observation case), while the other applies when costly audits are needed in order to assess this value (partial observation case).
In either case, the modeling stage leads to a set of quasi-variational inequalities which the authors attempt to solve numerically in the simpler case of full observations. This is done in Chapter 6. Finally a simulation analysis is carried out in Chapter 7, in which the authors study the influence on the control process of changes in the different model parameters. This precedes a discussion on possible extensions in Chapter 8 and some concluding remarks in Section 9.
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
- ÉditeurSpringer
- Date d'édition2001
- ISBN 10 0792379381
- ISBN 13 9780792379386
- ReliureRelié
- Langueanglais
- Nombre de pages102
- Coordonnées du fabricantnon disponible
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Optimal Control of Credit Risk (Volume 3)
Edité par
Kluwer Academic, 2001
ISBN 10 : 0792379381
ISBN 13 : 9780792379386
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Etat : Good. Volume 3. This is an ex-library book and may have the usual library/used-book markings inside.This book has hardback covers. Clean from markings. In good all round condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,400grams, ISBN:9780792379386. N° de réf. du vendeur 9712949
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Optimal Control of Credit Risk (Advances in Computational Management Science)
Edité par
Kluwer Academic Publishers, 2001
ISBN 10 : 0792379381
ISBN 13 : 9780792379386
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Optimal Control of Credit Risk
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Springer US, 2001
ISBN 10 : 0792379381
ISBN 13 : 9780792379386
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Etat : Hervorragend. Zustand: Hervorragend | Seiten: 116 | Sprache: Englisch | Produktart: Bücher. N° de réf. du vendeur 1432261/1
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Optimal Control of Credit Risk
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Gebunden. Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Optimal Control of Credit Risk presents an alternative methodology to deal with a financial problem that has not been well analyzed yet: the control of credit risk. Credit risk has become recently the center of interest of the financial communit. N° de réf. du vendeur 5970546
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Optimal Control of Credit Risk
Edité par
Springer US Apr 2001, 2001
ISBN 10 : 0792379381
ISBN 13 : 9780792379386
Neuf
Couverture rigide
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
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Buch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Optimal Control of Credit Risk presents an alternative methodology to deal with a financial problem that has not been well analyzed yet: the control of credit risk. Credit risk has become recently the center of interest of the financial community, with new instruments (such as Credit Risk Derivatives) and new methodologies (such as Credit Metrics) being developed. The recent literature has focused on the pricing of credit risk. On the other hand, practitioners tend to eliminate credit risk rather than price it. They do so via collateralization. The authors propose here a methodological basis for an optimal collateralization. The monograph is organized as follows: Chapter 1 reviews the main avenues of literature related to our problem; Chapter 2 provides a brief overview of the main optimal control principles; and Chapter 3 presents the models and their setting. In the remaining chapters, the authors propose two sets of programs. One set of programs will apply in cases where the information on the assets=value is readily available (full observation case), while the other applies when costly audits are needed in order to assess this value (partial observation case). In either case, the modeling stage leads to a set of quasi-variational inequalities which the authors attempt to solve numerically in the simpler case of full observations. This is done in Chapter 6. Finally a simulation analysis is carried out in Chapter 7, in which the authors study the influence on the control process of changes in the different model parameters. This precedes a discussion on possible extensions in Chapter 8 and some concluding remarks in Section 9. 116 pp. Englisch. N° de réf. du vendeur 9780792379386
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Optimal Control of Credit Risk
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Springer US, Springer New York Apr 2001, 2001
ISBN 10 : 0792379381
ISBN 13 : 9780792379386
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Buch. Etat : Neu. Neuware -Optimal Control of Credit Risk presents an alternative methodology to deal with a financial problem that has not been well analyzed yet: the control of credit risk. Credit risk has become recently the center of interest of the financial community, with new instruments (such as Credit Risk Derivatives) and new methodologies (such as Credit Metrics) being developed. The recent literature has focused on the pricing of credit risk. On the other hand, practitioners tend to eliminate credit risk rather than price it. They do so via collateralization. The authors propose here a methodological basis for an optimal collateralization.The monograph is organized as follows: Chapter 1 reviews the main avenues of literature related to our problem; Chapter 2 provides a brief overview of the main optimal control principles; and Chapter 3 presents the models and their setting.In the remaining chapters, the authors propose two sets of programs. One set of programs will apply in cases where the information on the assets=value is readily available (full observation case), while the other applies when costly audits are needed in order to assess this value (partial observation case).In either case, the modeling stage leads to a set of quasi-variational inequalities which the authors attempt to solve numerically in the simpler case of full observations. This is done in Chapter 6. Finally a simulation analysis is carried out in Chapter 7, in which the authors study the influence on the control process of changes in the different model parameters. This precedes a discussion on possible extensions in Chapter 8 and some concluding remarks in Section 9. 116 pp. Englisch. N° de réf. du vendeur 9780792379386
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Optimal Control of Credit Risk (Advances in Computational Management Science, 3)
Vendeur : Ria Christie Collections, Uxbridge, Royaume-Uni
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Optimal Control of Credit Risk
Edité par
Springer US, Springer New York, 2001
ISBN 10 : 0792379381
ISBN 13 : 9780792379386
Neuf
Couverture rigide
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
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Buch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - Optimal Control of Credit Risk presents an alternative methodology to deal with a financial problem that has not been well analyzed yet: the control of credit risk. Credit risk has become recently the center of interest of the financial community, with new instruments (such as Credit Risk Derivatives) and new methodologies (such as Credit Metrics) being developed. The recent literature has focused on the pricing of credit risk. On the other hand, practitioners tend to eliminate credit risk rather than price it. They do so via collateralization. The authors propose here a methodological basis for an optimal collateralization. The monograph is organized as follows: Chapter 1 reviews the main avenues of literature related to our problem; Chapter 2 provides a brief overview of the main optimal control principles; and Chapter 3 presents the models and their setting. In the remaining chapters, the authors propose two sets of programs. One set of programs will apply in cases where the information on the assets=value is readily available (full observation case), while the other applies when costly audits are needed in order to assess this value (partial observation case). In either case, the modeling stage leads to a set of quasi-variational inequalities which the authors attempt to solve numerically in the simpler case of full observations. This is done in Chapter 6. Finally a simulation analysis is carried out in Chapter 7, in which the authors study the influence on the control process of changes in the different model parameters. This precedes a discussion on possible extensions in Chapter 8 and some concluding remarks in Section 9. N° de réf. du vendeur 9780792379386
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Optimal Control of Credit Risk
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Optimal Control of Credit Risk (Advances in Computational Management Science, 3)
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