Advances in Credit Risk Modeling and Management

Credit risk remains one of the major risks faced by most financial and credit institutions. It is deeply connected to the real economy due to the systemic nature of some banks, but also because well-managed lending facilities are key for wealth creation and technological innovation. This book is a c...

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Detalles Bibliográficos
Otros Autores:	Vrins, Frédéric (Editor)
Formato:	Libro electrónico
Idioma:	Inglés
Publicado:	Basel, Switzerland MDPI - Multidisciplinary Digital Publishing Institute 2020
Materias:	Coins, banknotes, medals, seals (numismatics) recovery rates beta regression credit risk contingent convertible debt financial modelling risk management financial crisis recovery rate loss given default model ambiguity default time no-arbitrage reduced-form HJM models recovery process Counterparty Credit Risk Hidden Markov Model Risk Factor Evolution Backtesting FX rate Geometric Brownian Motion trade credit small and micro-enterprises financial non-financial variables risk assessment logistic regression probability of default wrong-way risk dependence urn model counterparty risk credit valuation adjustment (CVA) XVA (X-valuation adjustments) compression genetic algorithm
Ver en Biblioteca Universitat Ramon Llull:	https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009654562606719