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Basel ii implementation, Ozdemir, Bogie Miu, Peter
Basel ii implementation

Автор: Ozdemir, Bogie Miu, Peter
Название:  Basel ii implementation
Издательство: McGraw-Hill
Классификация:
Финансы

ISBN: 0071591303
ISBN-13(EAN): 9780071591300
ISBN: 0-07-159130-3
ISBN-13(EAN): 978-0-07-159130-0
Обложка/Формат: Mixed media product
Страницы: 333
Вес: 0.833 кг.
Дата издания: 10.11.2008
Язык: ENG
Иллюстрации: Illustrations
Размер: 23.62 x 18.54 x 3.05 cm
Читательская аудитория: Professional & vocational
Подзаголовок: A guide to developing and validating a compliant, internal risk rating system
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Поставляется из: Англии
Описание: Presents theory and practical how-to knowledge you need to implement the concepts of Basel II in your institution.
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Handbook of Basel III Capital: Enhancing Bank Capi tal in Practice

Автор: Juan Ramirez
Название: Handbook of Basel III Capital: Enhancing Bank Capi tal in Practice
ISBN: 1119330823 ISBN-13(EAN): 9781119330820
Издательство: Wiley
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Цена: 5720 р.
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Basel IV - The Next Generation of Risk Weighted Assets

Автор: Martin Neisen , Stefan Roth
Название: Basel IV - The Next Generation of Risk Weighted Assets
ISBN: 3527509186 ISBN-13(EAN): 9783527509188
Издательство: Wiley
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Цена: 5280 р.
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Islamic Capital Markets and Products: Managing Cap ital and Liquidity Requirements Under Basel III

Автор: Archer
Название: Islamic Capital Markets and Products: Managing Cap ital and Liquidity Requirements Under Basel III
ISBN: 1119218802 ISBN-13(EAN): 9781119218807
Издательство: Wiley
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Цена: 8800 р.
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Mathematical Finance - Theory, Modeling, Implementation

Автор: Fries
Название: Mathematical Finance - Theory, Modeling, Implementation
ISBN: 0470047224 ISBN-13(EAN): 9780470047224
Издательство: Wiley
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Цена: 12144 р.
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Описание: Concentrates on the theory of mathematical finance and the pricing of derivatives around the theory. Harmonizing theory, practical modeling, and financial methods, this work presents topics from their mathematical foundations to their real world implementation (through pricing models) using object oriented programming techniques.

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Uncitral Guide On The Implementation Of A Security Rights Registry (E.14.V.6)

Автор: United Nations & United Nations
Название: Uncitral Guide On The Implementation Of A Security Rights Registry (E.14.V.6)
ISBN: 9211338239 ISBN-13(EAN): 9789211338232
Издательство: Eurospan
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Цена: 1495 р.
Наличие на складе: Нет в наличии.

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Financial Modelling: Theory, Implementation and Practice with MATLAB Source

Автор: Kienitz
Название: Financial Modelling: Theory, Implementation and Practice with MATLAB Source
ISBN: 0470744898 ISBN-13(EAN): 9780470744895
Издательство: Wiley
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Цена: 6599 р.
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Описание: This book will enable the reader to model, design and implement a range of financial models for derivatives pricing and asset allocation.   The book will provide practitioners with the complete financial modeling workflow, from model choice, deriving analytic choice and/or approximate prices for simple options and calibration, to market data and exotic options pricing.  Equity/Equity-Interest Rate Hybrid models, Interest Rate models and Asset Allocation are used as examples showing specific models with analysis of their features.  The authors then go on to show how to price simple options and how to calibrate the models to real life market data and finally they discuss the pricing of exotic options. At the end of these sections the reader will be able to use the techniques discussed for equity derivatives and interest rate models in other areas of finance such as foreign exchange and inflation. The models discussed for derivatives pricing are: Heston / Bates Model L?vy Models (Variance-Gamma, Normal Inverse Gaussian) Heston Hull White Model Libor Market Model SABR Model The models discussed for asset allocation are: Markowitz Model Black-Litterman Model Copula Models Parametric Models (Generalized Hyperbolic Models) Source code for all the examples is provided with implementation in C++ and/or C#. Contents Part 1 Theory Covers  market data for the models and discusses the essential objects common to all models namely yield curves, volatility surfaces and time series.  To successfully cope with these objects they show how to implement such structures in C++/C#. Chapter 1 Basic Financial Objects The first chapter introduces the financial objects used for modelling. Basic definitions from the markets are explained. Chapter 2 Probability Theory, Stochastic Analysis and Finance Basic theory and mathematical objects necessary for financial modelling using stochastic analytic and probabilistic concepts. Chapter 3 Transform Methods and Option Pricing This chapter deals with an important tool in finance - Transform Methods and its connection to option pricing. A well known one is the Fourier Transform but there are others like the Escher transformation used to study L?vy processes. This will serve as a basis for many calibration applications in finance as well as for the applications considered in this book. Chapter 4 Simulation Simulation is one of the main tools in finance, e.g Monte Carlo Simulation is often the only method to price complex structured derivatives. Furthermore, some asset allocation models or value at risk calculation use simulation to model possible market scenarios. The authors give the basic facts necessary for successful application to financial models. Chapter 5 Optimization and Calibration This chapter reviews numerical methods for optimization and gives an introduction to local as well as global optimization algorithms. SQP, LFBGS, Levenberg-Marquardt and Differential Evolution are discussed and explained. Chapter 6 Numerical Integration and Quadrature Numerical Integration and Quadrature are applied to derive option prices using Fourier Transform or to compute convolution integrals numerically. Readers are given all the information necessary to implement the numerical methods.  Part 2 Implementation (The Fundamentals) In Part 2 of the book the reader is shown how to implement the methods described in Part 1 of the book. Source code for the applications in Part 3 is also given. There is a focus on methods and design which is reusable and can be applied to many other financial problems. Chapter 7 Software Design Design patterns and concepts from object oriented programming which are used in this book are explained, by the end of the chapter the reader should be familiar with the design and the object oriented approach to be able to efficiently use the code. Chapter 8

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Var implementation handbook

Автор: Gregoriou, Greg N.
Название: Var implementation handbook
ISBN: 007161513X ISBN-13(EAN): 9780071615136
Издательство: McGraw-Hill
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Цена: 5455 р.
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Guide to Optimal Operational Risk and BASEL II

Автор: Akkizidis
Название: Guide to Optimal Operational Risk and BASEL II
ISBN: 0849338131 ISBN-13(EAN): 9780849338137
Издательство: Taylor&Francis
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Цена: р.
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Описание: Guide to Optimal Operational Risk and BASEL II presents the key aspects of operational risk management that are also aligned with the BASEL II requirements. This volume provides detailed guidance for the design and implementation of efficient operational risk management systems. It contains all elements of assessment analysis, including operational risk identification, measurement, modeling, and monitoring analysis, along with evaluation analysis and the estimation of capital requirements. The authors also address managing and controlling operational risks including operational risk profiling, risk optimization, cost & optimal resource allocation, decision-making, and design of optimal risk policies.

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Basel III Credit Rating Systems

Автор: Izzi
Название: Basel III Credit Rating Systems
ISBN: 0230294243 ISBN-13(EAN): 9780230294240
Издательство: Springer
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Цена: 15399 р.
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Operational Risk Towards Basel III: Best Practices and Issues in Modeling, Management, and Regulation

Автор: Gregoriou
Название: Operational Risk Towards Basel III: Best Practices and Issues in Modeling, Management, and Regulation
ISBN: 047039014X ISBN-13(EAN): 9780470390146
Издательство: Wiley
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Цена: 7040 р.
Наличие на складе: Нет в наличии.

Описание: Includes chapters on the research in the OpRisk area that highlight how operational risk helps firms survive and prosper by giving readers various techniques in OpRisk management. This book discusses such topics as: Basel Accord II, getting ready for the New Basel III, and Extreme Value Theory.

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Credit risk models and the basel accords

Автор: Deventer, Donald R.van Imai, Kenji
Название: Credit risk models and the basel accords
ISBN: 0470820918 ISBN-13(EAN): 9780470820919
Издательство: Wiley
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Цена: 6160 р.
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Описание: Assesses the ability of credit models to evaluate collateralized debt obligations, loan commitments, collateralized loans, and retail and small business loan portfolios. This book reviews the objectives of the credit risk management process, introduces the theory of the Merton and reduced form credit models, and shows how the models can be used.

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Operational Risk Control with Basel II,

Автор: Dimitris N. Chorafas
Название: Operational Risk Control with Basel II,
ISBN: 0750659092 ISBN-13(EAN): 9780750659093
Издательство: Elsevier Science
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Цена: 8470 р.
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