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Credit Risk Analytics - Measurement Techniques, Applications, and Examples in SAS, B. Baesens, D. Roesch, H. Scheule



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Автор: B. Baesens, D. Roesch, H. Scheule
Название:  Credit Risk Analytics - Measurement Techniques, Applications, and Examples in SAS   (Гаральд Шюле: Аналитика рисков кредитования)
Издательство: Wiley
Классификация:
ISBN: 1119143985
ISBN-13(EAN): 9781119143987
Обложка/Формат: Hardback
Страницы: 512
Вес: 0.962 кг.
Дата издания: 25.11.2016
Серия: Wiley and sas business series
Язык: English
Размер: 190 x 244 x 33
Читательская аудитория: Professional & vocational
Ключевые слова: Finance & accounting
Подзаголовок: Measurement techniques, applications, and examples in sas
Ссылка на Издательство: Link
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Поставляется из: Англии
Описание: The long-awaited, comprehensive guide to practical credit risk modeling Credit Risk Analytics provides a targeted training guide for risk managers looking to efficiently build or validate in-house models for credit risk management.



Risk management and financial institutions, 4th ed

Автор: John C. Hull
Название: Risk management and financial institutions, 4th ed
ISBN: 1118955943 ISBN-13(EAN): 9781118955949
Издательство: Wiley
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Цена: 11550 р.
Наличие на складе: Невозможна поставка.

Описание: All Finance Professionals Need to Understand Risk Companies must take risks to survive and prosper, but deciding which risks are acceptable, which are not, and what action to take is the tricky part. To be successful, all finance professionals need a solid understanding of risk. Risk Management and Financial Institutions, written by one of the most respected authorities on financial risk management, is thorough, textbook–level instruction for all finance professionals, on all aspects of financial risk. Fully revised and updated, this top–selling book clarifies such complex topics as the diff erent types of financial institutions and how they are regulated, valuation and scenario analysis, credit risk, margin and collateral, volatility, and much more. You?ll find new coverage of timely subjects, such as central clearing, scenario analysis, enterprise risk management, and the latest regulatory issues and gain access to a supplementary website with additional software and helpful learning aids.try." JOURNAL OF MOLECULAR GRAPHICS AND MODELLING "One cannot generally do better than to try to find an appropriate article in the highly successful Reviews in Computational Chemistry. The basic philosophy of the editors seems to be to help the authors produce chapters that are complete, accurate, clear, and accessible to experimentalists (in particular) and other nonspecialists (in general)." JOURNAL OF THE AMERICAN CHEMICAL SOCIETY  find indispensable.ny ways to invest in residential income property Considerations for foreclosures, REOs, and probate sales What you need to know about property inspections and closings Advice on setting rental policies and finding trustworthy tenants The lowdown on recordkeeping, accounting, and taxes Ways to increase a property?s return Ten insider?s steps to real estate investing success , over 255 papers; and given more than 160 conference presentations.aluation.Olofsson is the author of Probability, Statistics, and Stochastic Processes, Second Edition, also published by Wiley.  ned to be used every day in the fast–paced veterinary setting Includes dosages for a wide range of species, including dogs, cats, exotic animals, and farm animals Provides a must–have reference for veterinarians and veterinary students se pathways can be individually assessed and compared to one another. The book describes both the strengths and limitations of the current molecular and atomistic modelling toolkit so that the professional interested in using these techniques can determine whether or not a given tool is appropriate for simulating the corrosion phenomenon at hand. The book also can serve as a reference for researchers seeking to build new research programs that will extend the current molecular modelling toolkit into exciting new directions. Molecular Modeling of Corrosion Processes features: Recent examples of applications of molecular modeling to corrosion phenomena throughout the text An introduction to mechanisms and models in corrosion science and engineering Methods such as kinetic Monte Carlo simulation, thermodynamic analysis, simulation of adsorption phenomena, statistical mechanics, and conventional transition state theory Presents current challenges and likely developments in this field for the future Various recent examples of applications of molecular modeling to corrosion phenomena are provided throughout the text. Some of these applications include the molecular dynamics of interfaces, dissolution mechanisms and dealloying, interrogating surface chemistry, properties of passive films, localized corrosion, the metal/metal oxide interface, hydrogen embrittlement, stress corrosion cracking, the modeling of corrosion inhibitors, and computational materials discovery. Christopher Taylor Ph.D. is a Senior Researcher in the Research and Innovation Group at DNV GL, and an Associate Research Professor in the Fontana Corrosion Center of The Ohio Stat

Risk /

Автор: Adams, John,
Название: Risk /
ISBN: 1857280687 ISBN-13(EAN): 9781857280685
Издательство: Taylor&Francis
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Цена: 5405 р.
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Описание: This work aims to bring the multifarious field of risk studies sharply into focus in a readable way for a wide readership throughout the social sciences and beyond.

Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets, 2nd Edition

Автор: Gregory
Название: Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets, 2nd Edition
ISBN: 1118316673 ISBN-13(EAN): 9781118316672
Издательство: Wiley
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Цена: 6930 р.
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Описание: The first decade of the 21st Century has been disastrous for financial institutions, derivatives and risk management. Counterparty credit risk has become the key element of financial risk management, highlighted by the bankruptcy of the investment bank Lehman Brothers and failure of other high profile institutions such as Bear Sterns, AIG, Fannie Mae and Freddie Mac. The sudden realisation of extensive counterparty risks has severely compromised the health of global financial markets. Counterparty risk is now a key problem for all financial institutions. This book explains the emergence of counterparty risk during the recent credit crisis. The quantification of firm-wide credit exposure for trading desks and businesses is discussed alongside risk mitigation methods such as netting and collateral management (margining) and central counterparties. Banks and other financial institutions have been recently developing their capabilities for pricing counterparty risk and these elements are considered in detail via a characterisation of credit value adjustment (CVA). The implications of an institution valuing their own default via debt value adjustment (DVA) and funding costs (FVA) are also considered at length. Portfolio management and hedging of CVA are described in full. Wrong-way counterparty risks are addressed in detail in relation to interest rate, foreign exchange, commodity and credit derivative products. Regulatory capital for counterparty risk, including the recent Basel III requirements for CVA VAR is discussed. The management of counterparty risk within an institution by a CVA desk is also discussed in detail. Finally, the design and benefits of central clearing, a recent development to attempt to control the rapid growth of counterparty risk, is considered. Hedging aspects, together with the associated instruments such as credit defaults swaps (CDSs) and contingent CDS (CCDS) are described in full. This book is unique in being practically focused but also covering the more technical aspects. It is an invaluable complete reference guide for any market practitioner, policy maker, academic or student with any responsibility or interest within the area of counterparty credit risk and CVA.

Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk

Автор: Marcelo G. Cruz,Gareth W. Peters,Pavel V. Shevchen
Название: Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk
ISBN: 1118118391 ISBN-13(EAN): 9781118118399
Издательство: Wiley
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Цена: 15015 р.
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Описание: A one–stop guide for the theories, applications, and statistical methodologies essential to operational risk Providing a complete overview of operational risk modeling and relevant insurance analytics, Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk offers a systematic approach that covers the wide range of topics in this area. Written by a team of leading experts in the field, the handbook presents detailed coverage of the theories, applications, and models inherent in any discussion of the fundamentals of operational risk, with a primary focus on Basel II/III regulation, modeling dependence, estimation of risk models, and modeling the data elements. Fundamental Aspects of Operational Risk and Insurance Analytics: A Handbook of Operational Risk begins with coverage on the four data elements used in operational risk framework as well as processing risk taxonomy. The book then goes further in–depth into the key topics in operational risk measurement and insurance, for example diverse methods to estimate frequency and severity models. Finally, the book ends with sections on specific topics, such as scenario analysis; multifactor modeling; and dependence modeling. A unique companion with Advances in Heavy Tailed Risk Modeling: A Handbook of Operational Risk, the handbook also features: Discussions on internal loss data and key risk indicators, which are both fundamental for developing a risk–sensitive framework Guidelines for how operational risk can be inserted into a firm s strategic decisions A model for stress tests of operational risk under the United States Comprehensive Capital Analysis and Review (CCAR) program A valuable reference for financial engineers, quantitative analysts, risk managers, and large–scale consultancy groups advising banks on their internal systems, the handbook is also useful for academics teaching postgraduate courses on the methodology of operational risk. Marcelo G. Cruz, PhD, is Adjunct Professor at New York University and a world–renowned consultant on operational risk modeling and measurement. He has written and edited several books in operational risk, and is Founder and Editor–in–Chief of The Journal of Operational Risk. Gareth W. Peters, PhD, is Assistant Professor in the Department of Statistical Science, Principle Investigator in Computational Statistics and Machine Learning, and Academic Member of the UK PhD Centre of Financial Computing at University College London. He is also Adjunct Scientist in the Commonwealth Scientific and Industrial Research Organisation, Australia; Associate Member Oxford–Man Institute at the Oxford University; and Associate Member in the Systemic Risk Centre at the London School of Economics. Pavel V. Shevchenko, PhD, is Senior Principal Research Scientist in the Commonwealth Scientific and Industrial Research Organisation, Australia, as well as Adjunct Professor at the University of New South Wales and the University of Technology, Sydney. He is also Associate Editor of The Journal of Operational Risk. He works on research and consulting projects in the area of financial risk and the development of relevant numerical methods and software, has published extensively in academic journals, consults for major financial institutions, and frequently presents at industry and academic conferences.

The Analytics of Risk Model Validation,

Автор: George A. Christodoulakis
Название: The Analytics of Risk Model Validation,
ISBN: 0750681586 ISBN-13(EAN): 9780750681582
Издательство: Elsevier Science
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Цена: 7310 р.
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Описание: Risk model validation is an emerging and important area of research, and has arisen because of Basel I and II. These regulatory initiatives require trading institutions and lending institutions to compute their reserve capital in a highly analytic way, based on the use of internal risk models. It is part of the regulatory structure that these risk models be validated both internally and externally, and there is a great shortage of information as to best practise. Editors Christodoulakis and Satchell collect papers that are beginning to appear by regulators, consultants, and academics, to provide the first collection that focuses on the quantitative side of model validation. The book covers the three main areas of risk: Credit Risk and Market and Operational Risk.

Fundamental Aspects of Operational Risk and Insurance Analytics and Advances in Heavy Tailed Risk Modeling: Handbooks of Operational Risk Set

Автор: Marcelo G. Cruz,Gareth W. Peters,Pavel V. Shevchenko
Название: Fundamental Aspects of Operational Risk and Insurance Analytics and Advances in Heavy Tailed Risk Modeling: Handbooks of Operational Risk Set
ISBN: 1118909577 ISBN-13(EAN): 9781118909577
Издательство: Wiley
Рейтинг:
Цена: 24602 р.
Наличие на складе: Поставка под заказ.

Описание: Two cutting?€“edge guides for the theories, applications, and statistical methodologies essential to operational risk and heavy tailed risk modeling   Focusing on the quantitative aspects of heavy tailed loss processes in operational risk and relev

Counterparty Credit Risk, Collateral and Funding

Автор: Brigo
Название: Counterparty Credit Risk, Collateral and Funding
ISBN: 047074846X ISBN-13(EAN): 9780470748466
Издательство: Wiley
Рейтинг:
Цена: 7508 р.
Наличие на складе: Поставка под заказ.

Описание: The book's content is focused on quantitative methods of tackling valuation problems, supplying sound theoretical frameworks for the pricing and hedging of counterparty risk, linking particular models to particular 'concrete' financial situations. The authors also aim to help quantitative analysts, traders, and anyone else needing to measure counterparty risk, to develop a 'feel' for applying sophisticated mathematics and stochastic calculus to solve practical problems. The main models are illustrated from theoretical formulation to final implementation with calibration to market data, always keeping in mind the concrete questions being dealt with. The authors stress that each model is suited to different situations and products, pointing out that there does not exist a single model which is uniformly better than all the others. Table of Contents Preface Chapter 1: Definitions and Notation Chapter 2: Counterparty Risk in General Chapter 3: Modeling the underlying: Equity, Rates, Commodities and Credit Chapter 4: Counterparty Risk for Interest Rate Swaps and exotics Chapter 5: Counterparty Risk for FX Chapter 6: Counterparty Risk for Commodities Chapter 7: Counterparty Risk for Credit Chapter 8: Counterparty Risk for Equity Chapter 9. Contingent CDS and other hybrid products Appendix A: Stochastic Calculus Appendix B: Copula Functions

Derivatives Analytics with Python

Автор: Hilpisch Y
Название: Derivatives Analytics with Python
ISBN: 1119037999 ISBN-13(EAN): 9781119037996
Издательство: Wiley
Рейтинг:
Цена: 6930 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Supercharge options analytics and hedging using the power of Python Derivatives Analytics with Python shows you how to implement market-consistent valuation and hedging approaches using advanced financial models, efficient numerical techniques, and the powerful capabilities of the Python programming language.

Автор: dAmico
Название: Stochastic Methods for Credit Risk
ISBN: 1848219008 ISBN-13(EAN): 9781848219007
Издательство: Wiley
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Цена: 14553 р.
Наличие на складе: Поставка под заказ.

Описание:

As Non-Life Insurance models are strictly connected with stochastic processes, the main aim of this book is to show how classical and recent advanced stochastic models can be used to improve the stochastic approach in non-life insurance for which contracts can be characterized by time and risk: this constitutes precisely the core business of stochastic processes. This book presents various stochastic methods applied to non-life insurance, in order to price, valuate, hedge and manage these contracts and particularly to model the various claim processes.

From the financial point of view, essential concepts such as actuarial evaluation, market values, fair pricing play a central role and will be presented. For the insurance part, the age assumes a fundamental role in the evaluation of premiums; this influence should be function not only of the age of insured but also, for example in car insurance, of the age of car.

For these processes, we develop fundamental applications for non-life insurance such claim management, reinsurance, catastrophic risks, car insurance and the application in the actuarial risk theory particularly for the computing of main risk and Solvency II indicators such as the SCR and MCR indicators. We include numerical applications and practical case studies.

Managing Credit Risk in Corporate Bond Portfolios: A Practitioner`s Guide

Автор: Srichander Ramaswamy
Название: Managing Credit Risk in Corporate Bond Portfolios: A Practitioner`s Guide
ISBN: 0471430374 ISBN-13(EAN): 9780471430377
Издательство: Wiley
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Цена: 6988 р.
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Описание: "With this clear and comprehensive guide, the reader has an excellent basis on which to build up an advanced credit risk management system. Ramaswamy provides clear answers to important questions such as tail dependence and relative credit risk measures while keeping the right balance between practical relevance and technical sophistication." --Dr. Yue Sung, Head of Risk Control, Deutsche Bundesbank "This book bridges the gap between theory and practice in the quantitative management of corporate bond portfolios. Different distributional assumptions are utilized and discussed in the context of practical portfolio management examples. I recommend this book to practitioners as a useful introduction to the quantitative issues of corporate bond portfolio management." --Lev Dynkin, Managing Director Lehman Brothers, Quantitative Portfolio Strategies. In Managing Credit Risk in Corporate Bond Portfolios: A Practitioner's Guide, investment expert Srichander Ramaswamy skillfully explains how you can begin to measure and manage the relative credit risk of a co rporate bond portfolio against its benchmark. By combining risk management concepts with portfolio construction techniques, and examining the role that quantitative methods play in the integration process, th comprehensive guide provides much-needed answers to numerous corporate bond portfolio management questions. Filled with practical advice and challenging end-of-chapter questions, this book can help you become a better-informed and more efficient player in the financial system--whether you're an institutional investor in need of important risk guidelines or a portfolio manager looking to rebalance positions.

Credit Risk: From Transaction to Portfolio Management,

Автор: Andrew Kimber
Название: Credit Risk: From Transaction to Portfolio Management,
ISBN: 0750656670 ISBN-13(EAN): 9780750656672
Издательство: Elsevier Science
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Цена: 10973 р.
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Описание: Provides an analysis of the nature of credit risk in investment bank portfolio management. This book aims to protect the capital and reputation of the bank while preserving its franchise and optimising long-term profitability. It also provides financial institutions and their staff with information about how to control and manage credit risk.

Credit risk management

Автор: Colquitt, Joetta
Название: Credit risk management
ISBN: 0071446605 ISBN-13(EAN): 9780071446600
Издательство: McGraw-Hill
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Цена: 4272 р.
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Описание: Offers a guide to the process of managing credit risk ranging from the principles of credit risk analysis to advanced analytical techniques for improving the effectiveness of balance sheet management in financial institutions. This textbook includes coverage of the credit process, lending objectives, funding strategies, and risk evaluation.


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