Sinossi
This title 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 the centre 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 offer 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 programmes. One set of programmes 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 modelling 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.
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Contenuti
Acknowledgments. 1. Introduction. 2. Literature Review. 3. Elements of Optimal Control. 4. The Model. 5. Full-Observation Case. 6. Partial Observation Case. 7. Numerical Approaches. 8. Simulation Experiments. Index.
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Book by Cossin Didier Aparicio Acosta Felipe M
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Optimal Control of Credit Risk. Advances in Computational Management Science, Band 3.
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gebundene Ausgabe. Condizione: Gut. 101 Seiten Der Erhaltungszustand des hier angebotenen Werks ist trotz seiner Bibliotheksnutzung sehr sauber und kann entsprechende Merkmale aufweisen (Rückenschild, Instituts-Stempel.). In ENGLISCHER Sprache. Sprache: Englisch Gewicht in Gramm: 345. Codice articolo 2283038
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Condizione: 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. Codice articolo 9712949
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Optimal Control of Credit Risk
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Buch. Condizione: 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. Codice articolo 9780792379386
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Condizione: New. Presents an alternative methodology to deal with a financial problem: the control of credit risk. This monograph includes chapters that review the main avenues of literature related to our problem; provide a brief overview of the main optimal control principles; and, present the models and their setting. Series: Advances in Computational Management Science. Num Pages: 102 pages, biography. BIC Classification: KFF; KJS. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 235 x 155 x 13. Weight in Grams: 347. . 2001. Hardback. . . . . Codice articolo V9780792379386
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Gebunden. Condizione: 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. Codice articolo 5970546
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Buch. Condizione: Neu. Optimal Control of Credit Risk | Felipe M. Aparicio Acosta (u. a.) | Buch | Einband - fest (Hardcover) | Englisch | 2001 | Springer US | EAN 9780792379386 | Verantwortliche Person für die EU: Springer-Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, productsafety[at]springernature[dot]com | Anbieter: preigu Print on Demand. Codice articolo 102549426
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Optimal Control of Credit Risk
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Springer US, Springer New York Apr 2001, 2001
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Buch. Condizione: 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. Codice articolo 9780792379386
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Condizione: New. Presents an alternative methodology to deal with a financial problem: the control of credit risk. This monograph includes chapters that review the main avenues of literature related to our problem; provide a brief overview of the main optimal control principles; and, present the models and their setting. Series: Advances in Computational Management Science. Num Pages: 102 pages, biography. BIC Classification: KFF; KJS. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 235 x 155 x 13. Weight in Grams: 347. . 2001. Hardback. . . . . Books ship from the US and Ireland. Codice articolo V9780792379386
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Condizione: Hervorragend. Zustand: Hervorragend | Sprache: Englisch | Produktart: Bücher | 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. Codice articolo 1432261/1
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