Titlebook: Credit-Risk Modelling; Theoretical Foundati David Jamieson Bolder Book 2018 Springer International Publishing AG, part of Springer Nature 2

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The Genesis of Credit-Risk Modellingrect and direct approaches. The indirect approach will turn out to be quite familiar, whereas the direct method requires a significant amount of heavy lifting for its implementation. As in previous chapters, parameter calibration options are explored and both methods are applied to practical portfol

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A Regulatory PerspectiveGaussian threshold model. Portfolio invariance implies that the risk of the portfolio is independent of the overall portfolio structure and depends only on the characteristics of the individual exposures. Expedient rather than realistic, this choice reduces the computational and system burden on reg

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Book 2018 finance practitioners. It is, unfortunately, a topic with a high degree of technical complexity. Addressing this challenge, this book provides a comprehensive and attainable mathematical and statistical discussion of a broad range of existing default-risk models. Model description and derivation, h

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g the models, diagnostic tools, and estimation of key inputsThe risk of counterparty default in banking, insurance, institutional, and pension-fund portfolios is an area of ongoing and increasing importance for finance practitioners. It is, unfortunately, a topic with a high degree of technical comp

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David Jamieson BolderDemonstrates a broad range of state-of-the-art credit-risk models and underscores their interlinkages.Includes extensive Python code to bring the models, diagnostic tools, and estimation of key inputs

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