Articles liés à Contributions to Credit Portfolio Modeling and Optimization
Synopsis
The devastating impacts of the recent global financial crisis underscore the need for both financial institutions and banking supervision to develop more appropriate credit risk models to ensure the stability of the financial system. This work contributes to quantitative credit portfolio risk modeling in three ways. First, it introduces a general credit portfolio modeling concept that comprises specific credit risk management models as special cases. Second, analytical techniques are presented for specifying asset correlations in a credit portfolio through systematic factors. Finally, a new approach for clustering of obligors in a credit portfolio is proposed using threshold accepting, a stochastic optimization technique. In particular, a computationally tractable technique to validate ex-post the precision of the clustering system is suggested and applied to a real world retail credit portfolio. The contributions of this book should provide benefit to practitioners, academics and graduate students in the field of financial risk management.
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
À propos de l'auteur
Akwum Onwunta holds a B.Sc. in Mathematics, an M.Sc. in Mathematical and Physical Analysis, and a PhD in Economics. He worked for over three years as Marie Curie research fellow at a bank in Germany in the area of credit portfolio modeling under the umbrella of Computational Optimization Methods in Statistics, Econometrics and Finance (COMISEF) project. In general, the author is interested in mathematical modeling of real-world problems with financial and economic relevance, as well as in scientific computing. His current research is focused on quantitative portfolio risk modeling.
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
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Contributions to Credit Portfolio Modeling and Optimization
Edité par
Peter Lang Mrz 2011, 2011
ISBN 10 : 3631611714
ISBN 13 : 9783631611715
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 -The devastating impacts of the recent global financial crisis underscore the need for both financial institutions and banking supervision to develop more appropriate credit risk models to ensure the stability of the financial system. This work contributes to quantitative credit portfolio risk modeling in three ways. First, it introduces a general credit portfolio modeling concept that comprises specific credit risk management models as special cases. Second, analytical techniques are presented for specifying asset correlations in a credit portfolio through systematic factors. Finally, a new approach for clustering of obligors in a credit portfolio is proposed using threshold accepting, a stochastic optimization technique. In particular, a computationally tractable technique to validate ex-post the precision of the clustering system is suggested and applied to a real world retail credit portfolio. The contributions of this book should provide benefit to practitioners, academics and graduate students in the field of financial risk management. 122 pp. Englisch. N° de réf. du vendeur 9783631611715
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Contributions to Credit Portfolio Modeling and Optimization
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Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Contributions to Credit Portfolio Modeling and OptimizationThe devastating impacts of the recent global financial crisis underscore the need for both financial institutions and banking supervision to develop more appropriate credit risk models to ensure. N° de réf. du vendeur 123588275
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Contributions to Credit Portfolio Modeling and Optimization
Edité par
Peter Lang, Peter Lang Mär 2011, 2011
ISBN 10 : 3631611714
ISBN 13 : 9783631611715
Neuf
Couverture rigide
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Buch. Etat : Neu. This item is printed on demand - Print on Demand Titel. Neuware -The devastating impacts of the recent global financial crisis underscore the need for both financial institutions and banking supervision to develop more appropriate credit risk models to ensure the stability of the financial system. This work contributes to quantitative credit portfolio risk modeling in three ways. First, it introduces a general credit portfolio modeling concept that comprises specific credit risk management models as special cases. Second, analytical techniques are presented for specifying asset correlations in a credit portfolio through systematic factors. Finally, a new approach for clustering of obligors in a credit portfolio is proposed using threshold accepting, a stochastic optimization technique. In particular, a computationally tractable technique to validate ex-post the precision of the clustering system is suggested and applied to a real world retail credit portfolio. The contributions of this book should provide benefit to practitioners, academics and graduate students in the field of financial risk management.Lang, Peter GmbH, Gontardstraße 11, 10178 Berlin 122 pp. Englisch. N° de réf. du vendeur 9783631611715
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Contributions to Credit Portfolio Modeling and Optimization
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Buch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - The devastating impacts of the recent global financial crisis underscore the need for both financial institutions and banking supervision to develop more appropriate credit risk models to ensure the stability of the financial system. This work contributes to quantitative credit portfolio risk modeling in three ways. First, it introduces a general credit portfolio modeling concept that comprises specific credit risk management models as special cases. Second, analytical techniques are presented for specifying asset correlations in a credit portfolio through systematic factors. Finally, a new approach for clustering of obligors in a credit portfolio is proposed using threshold accepting, a stochastic optimization technique. In particular, a computationally tractable technique to validate ex-post the precision of the clustering system is suggested and applied to a real world retail credit portfolio. The contributions of this book should provide benefit to practitioners, academics and graduate students in the field of financial risk management. N° de réf. du vendeur 9783631611715
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Contributions to Credit Portfolio Modeling and Optimization
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Buch. Etat : Neu. Contributions to Credit Portfolio Modeling and Optimization | Akwum Agwu Onwunta | Buch | Englisch | 2011 | Peter Lang | EAN 9783631611715 | Verantwortliche Person für die EU: Lang, Peter GmbH, Gontardstr. 11, 10178 Berlin, r[dot]boehm-korff[at]peterlang[dot]com | Anbieter: preigu Print on Demand. N° de réf. du vendeur 103733166
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