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Raimondo Manca

Semi-Markov Migration Models for Credit Risk

Ebook (PDF Format)

Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation.This book presents a complete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers. This approach provides a good method of evaluating the default risk and… Mehr

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Produktdetails


Weitere Autoren: Janssen, Jacques / D'Amico, Guglielmo / Di Biase, Giuseppe
  • ISBN: 978-1-119-41511-4
  • EAN: 9781119415114
  • Produktnummer: 25428722
  • Verlag: Wiley
  • Sprache: Englisch
  • Erscheinungsjahr: 2017
  • Seitenangabe: 316 S.
  • Plattform: PDF
  • Masse: 6'786 KB

Über den Autor


Guglielmo D'Amico, G. d'Annunzio University of Chieti-Pescara, Italy. Giuseppe Di Biase, G. d'Annunzio University of Chieti-Pescara, Italy. Jacques Janssen, Solvay Brussels School of Economics and Management, Belgium. Raimondo Manca, University of Rome La Sapienza, Italy.

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