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Basel ii implementation, Ozdemir, Bogie Miu, Peter

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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При оформлении заказа до: 15 июн 2018
Ориентировочная дата поставки: Середина Июля
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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: 6078 р.
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Описание: A deeper examination of Basel III for more effective capital enhancement The Handbook of Basel III Capital Enhancing Bank Capital in Practice delves deep into the principles underpinning the capital dimension of Basel III to provide a more advanced understanding of real-world implementation.

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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: 5610 р.
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Описание: In reaction to the financial market crisis that started in 2007, the Basel Committee on Banking Supervision substantially revised its existing framework for regulation, supervision and risk management in the banking sector. This revision was introduced with the so-called Basel III framework in December 2010.

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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: 9350 р.
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Описание: Ensure Basel III compliance with expert analysis specific to Islamic Finance Islamic Capital Markets and Products provides a thorough examination of Islamic capital markets (ICM), with particular attention to the products that they offer and the legal and regulatory infrastructure within which they operate.

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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: 12903 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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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: 7012 р.
Наличие на складе: Поставка под заказ.

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: 5796 р.
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Описание: The latest strategies for applying the newscience of risk management

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The Basel II Risk Parameters

Автор: Engelmann
Название: The Basel II Risk Parameters
ISBN: 3540330852 ISBN-13(EAN): 9783540330851
Издательство: Springer
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Цена: 5276 р.
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Описание: The estimation and validation of the Basel II risk parameters PD (default probability), LGD (loss given default), and EAD (exposure at default) is an important problem in banking practice. These parameters are used on the one hand as inputs to credit portfolio models, on the other to compute regulatory capital according to the new Basel rules. The book covers the state-of-the-art in designing and validating rating systems and default probability estimations. Furthermore, it presents techniques to estimate LGD and EAD. A chapter on stress testing of the Basel II risk parameters concludes the monograph.

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The Basel II Risk Parameters

Автор: Engelmann
Название: The Basel II Risk Parameters
ISBN: 3642161138 ISBN-13(EAN): 9783642161131
Издательство: Springer
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Цена: 7919 р.
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Описание: The estimation and the validation of the Basel II risk parameters PD (default probability), LGD (loss given fault), and EAD (exposure at default) is an important problem in banking practice. These parameters are used on the one hand as inputs to credit portfolio models and in loan pricing frameworks, on the other to compute regulatory capital according to the new Basel rules. This book covers the state-of-the-art in designing and validating rating systems and default probability estimations. Furthermore, it presents techniques to estimate LGD and EAD and includes a chapter on stress testing of the Basel II risk parameters. The second edition is extended by three chapters explaining how the Basel II risk parameters can be used for building a framework for risk-adjusted pricing and risk management of loans.

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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: 17599 р.
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Описание: More than ever, banking competition is based on the ability to control the cost of risk and can only be managed with excellent internal rating models and very advanced risk management processes. This book is a comprehensive guide to quantitative and qualitative rating assessments with up-to-date methodologies in the international banking system.

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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: 7480 р.
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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: 6545 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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