Поиск по каталогу |
(строгое соответствие)
|
- Профессиональная
- Научно-популярная
- Художественная
- Публицистика
- Детская
- Искусство
- Хобби, семья, дом
- Спорт
- Путеводители
- Блокноты, тетради, открытки
Studies on Risk Management.
В наличии
Местонахождение: Алматы | Состояние экземпляра: новый |
Бумажная
версия
версия
Автор: Chih-Wei Lee
ISBN: 9783330821446
Год издания: 2017
Формат книги: 60×90/16 (145×215 мм)
Количество страниц: 96
Издательство: ???????
Цена: 17179 тг
Положить в корзину
Позиции в рубрикаторе
Сферы деятельности:Код товара: 226317
Способы доставки в город Алматы * комплектация (срок до отгрузки) не более 2 рабочих дней |
Самовывоз из города Алматы (пункты самовывоза партнёра CDEK) |
Курьерская доставка CDEK из города Москва |
Доставка Почтой России из города Москва |
Аннотация: Risk management is the process by which various financial risk exposures are identified, measured, and controlled. Financial risks can be defined as those that relate to possible losses in financial markets, such as losses due to interest rate movements or defaults on financial obligations. Generally, financial risks are classified into the broad categories of market risks, credit risks, liquidity risks, operational risks, and legal risks. This study comprises three essays on risk management. In the first essay “Stress Testing for Two-stage Transmission Stress Events”, we use the two-stage conditional probability distributions to compute a new loss exposure measure for stress events that may have two-stage sequential impacts on various markets. In the second essay “Estimating Extreme Correlation for the EVT-type VaR - a Copula Approach”, we propose to use the Clayton copula to derive a time-varying correlation model for calculating the extreme value theory (EVT) type Value at Risk (VaR). In the third essay “A Poisson Model with Common Shocks for CDO Valuation”, we show that the implementation of CDO valuation models assuming conditional dependence can be made more efficient.
Ключевые слова: copula, Value at Risk, collateralized debt obligation (CDO), loss function?Poisson model with common shock, two-stage transmission, stress testing, Extreme Value Theory (EVT)