Sinossi
Correlation structure is one of the most common problem in calculating Incremental Risk Charge (IRC). After we figure out model construction with correlation structure, we will simulate the migration of issuers in trading book portfolio. Then we will simulate the rating of issuers at the over roll time depend on Basel requirements. The extension of such a model that computes the capital charge for a portfolio of corporate bonds, sovereign bonds and some products in trading book is described in this thesis. Finally, we do some experiments with real data sample from Bloomberg and to find IRC for real portfolio and discuss about some results.
Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.
Risultati della ricerca per Correlation Structure and Application In Incremental...
Immagini fornite dal venditore
Correlation Structure and Application In Incremental Risk Charge
Editore:
LAP LAMBERT Academic Publishing Sep 2017, 2017
ISBN 10: 3659694932
ISBN 13: 9783659694936
Nuovo
Taschenbuch
Da: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germania
Valutazione del venditore 5 su 5 stelle
Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Correlation structure is one of the most common problem in calculating Incremental Risk Charge (IRC). After we figure out model construction with correlation structure, we will simulate the migration of issuers in trading book portfolio. Then we will simulate the rating of issuers at the over roll time depend on Basel requirements. The extension of such a model that computes the capital charge for a portfolio of corporate bonds, sovereign bonds and some products in trading book is described in this thesis. Finally, we do some experiments with real data sample from Bloomberg and to find IRC for real portfolio and discuss about some results. 60 pp. Englisch. Codice articolo 9783659694936
Compra nuovo
EUR 35,90
Spedizione EUR 23,00
Spedito da Germania a U.S.A.
Spedito da Germania a U.S.A.
Quantità: 2 disponibili
Foto dell'editore
Correlation Structure and Application In Incremental Risk Charge
Editore:
LAP LAMBERT Academic Publishing, 2017
ISBN 10: 3659694932
ISBN 13: 9783659694936
Nuovo
Paperback
Da: Revaluation Books, Exeter, Regno Unito
Valutazione del venditore 5 su 5 stelle
Paperback. Condizione: Brand New. 60 pages. 8.66x5.91x0.14 inches. In Stock. Codice articolo 3659694932
Compra nuovo
EUR 67,65
Spedizione EUR 11,74
Spedito da Regno Unito a U.S.A.
Spedito da Regno Unito a U.S.A.
Quantità: 1 disponibili
Immagini fornite dal venditore
Correlation Structure and Application In Incremental Risk Charge
Editore:
LAP LAMBERT Academic Publishing, 2017
ISBN 10: 3659694932
ISBN 13: 9783659694936
Nuovo
Brossura
Da: moluna, Greven, Germania
Valutazione del venditore 5 su 5 stelle
Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Hoa NgoI am egalitarian. Interest: Marco-economic modelling, Arbitrage, General equilibrium, Probability, Technical Analysis, Quant Fin, Risk Management and Uncertainty.Correlation structure is one of the most common problem in c. Codice articolo 174171890
Compra nuovo
EUR 31,27
Spedizione EUR 48,99
Spedito da Germania a U.S.A.
Spedito da Germania a U.S.A.
Quantità: Più di 20 disponibili
Immagini fornite dal venditore
Correlation Structure and Application In Incremental Risk Charge
Editore:
LAP LAMBERT Academic Publishing Sep 2017, 2017
ISBN 10: 3659694932
ISBN 13: 9783659694936
Nuovo
Taschenbuch
Da: buchversandmimpf2000, Emtmannsberg, BAYE, Germania
Valutazione del venditore 5 su 5 stelle
Taschenbuch. Condizione: Neu. This item is printed on demand - Print on Demand Titel. Neuware -Correlation structure is one of the most common problem in calculating Incremental Risk Charge (IRC). After we figure out model construction with correlation structure, we will simulate the migration of issuers in trading book portfolio. Then we will simulate the rating of issuers at the over roll time depend on Basel requirements. The extension of such a model that computes the capital charge for a portfolio of corporate bonds, sovereign bonds and some products in trading book is described in this thesis. Finally, we do some experiments with real data sample from Bloomberg and to find IRC for real portfolio and discuss about some results.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 60 pp. Englisch. Codice articolo 9783659694936
Compra nuovo
EUR 35,90
Spedizione EUR 60,00
Spedito da Germania a U.S.A.
Spedito da Germania a U.S.A.
Quantità: 1 disponibili
Immagini fornite dal venditore
Correlation Structure and Application In Incremental Risk Charge
Editore:
LAP LAMBERT Academic Publishing, 2017
ISBN 10: 3659694932
ISBN 13: 9783659694936
Nuovo
Taschenbuch
Da: AHA-BUCH GmbH, Einbeck, Germania
Valutazione del venditore 5 su 5 stelle
Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - Correlation structure is one of the most common problem in calculating Incremental Risk Charge (IRC). After we figure out model construction with correlation structure, we will simulate the migration of issuers in trading book portfolio. Then we will simulate the rating of issuers at the over roll time depend on Basel requirements. The extension of such a model that computes the capital charge for a portfolio of corporate bonds, sovereign bonds and some products in trading book is described in this thesis. Finally, we do some experiments with real data sample from Bloomberg and to find IRC for real portfolio and discuss about some results. Codice articolo 9783659694936
Compra nuovo
EUR 37,20
Spedizione EUR 60,54
Spedito da Germania a U.S.A.
Spedito da Germania a U.S.A.
Quantità: 1 disponibili
Immagini fornite dal venditore
Correlation Structure and Application In Incremental Risk Charge
Editore:
LAP LAMBERT Academic Publishing, 2017
ISBN 10: 3659694932
ISBN 13: 9783659694936
Nuovo
Taschenbuch
Da: preigu, Osnabrück, Germania
Valutazione del venditore 5 su 5 stelle
Taschenbuch. Condizione: Neu. Correlation Structure and Application In Incremental Risk Charge | Ngo Hoa | Taschenbuch | Englisch | 2017 | LAP LAMBERT Academic Publishing | EAN 9783659694936 | Verantwortliche Person für die EU: preigu GmbH & Co. KG, Lengericher Landstr. 19, 49078 Osnabrück, mail[at]preigu[dot]de | Anbieter: preigu Print on Demand. Codice articolo 113180114
Compra nuovo
EUR 33,25
Spedizione EUR 70,00
Spedito da Germania a U.S.A.
Spedito da Germania a U.S.A.
Quantità: 5 disponibili
Foto dell'editore
Correlation Structure and Application In Incremental Risk Charge
Editore:
LAP LAMBERT Academic Publishing, 2017
ISBN 10: 3659694932
ISBN 13: 9783659694936
Nuovo
paperback
Da: Mispah books, Redhill, SURRE, Regno Unito
Valutazione del venditore 4 su 5 stelle
paperback. Condizione: New. NEW. SHIPS FROM MULTIPLE LOCATIONS. book. Codice articolo ERICA82936596949326
Compra nuovo
EUR 137,86
Spedizione EUR 29,35
Spedito da Regno Unito a U.S.A.
Spedito da Regno Unito a U.S.A.
Quantità: 1 disponibili