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MODERN FINANCIAL ENGINEERING: COUNTERPARTY, CREDIT, PORTFOLIO AND SYSTEMIC RISKS - 第 1/1 張圖片
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MODERN FINANCIAL ENGINEERING: COUNTERPARTY, CREDIT, PORTFOLIO AND SYSTEMIC RISKS

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ISBN
9789811252358
Publication Year
2022
Format
Hardcover
Language
English
Book Title
Modern Financial Engineering : Counterparty, Credit, Portfolio and Systemic Risks
Author
Michele Bufalo, Henry Penikas, Giuseppe Orlando, Concetta Zurlo
Publisher
World Industries Scientific Publishing Co Pte LTD
Genre
Business & Economics
Topic
Finance / General
Item Weight
0 Oz
Number of Pages
Xxv, 407 Pages

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Product Information

The book offers an overview of credit risk modeling and management. A three-step approach is adopted with the contents, after introducing the essential concepts of both mathematics and finance.Initially the focus is on the modeling of credit risk parameters mainly at the level of individual debtor and transaction, after which the book delves into counterparty credit risk, thus providing the link between credit and market risks. The second part is aimed at the portfolio level when multiple loans are pooled and default correlation becomes an important factor to consider and model. In this respect, the book explains how copulas help in modeling. The final stage is the macro perspective when the combination of credit risks related to financial institutions produces systemic risk and affects overall financial stability.The entire approach is two-dimensional as well. First, all modeling steps have replicable programming codes both in R and Matlab. In this way, the reader can experience the impact of changing the default probabilities of a given borrower or the weights of a sector. Second, at each stage, the book discusses the regulatory environment. This is because, at times, regulation can have stricter constraints than the outcome of internal models. In summary, the book guides the reader in modeling and managing credit risk by providing both the theoretical framework and the empirical tools necessary for a modern finance professional. In this sense, the book is aimed at a wide audience in all fields of study: from quants who want to engage in finance to economists who want to learn about coding and modern financial engineering.

Product Identifiers

Publisher
World Industries Scientific Publishing Co Pte LTD
ISBN-10
9811252351
ISBN-13
9789811252358
eBay Product ID (ePID)
12057247899

Product Key Features

Book Title
Modern Financial Engineering : Counterparty, Credit, Portfolio and Systemic Risks
Author
Michele Bufalo, Henry Penikas, Giuseppe Orlando, Concetta Zurlo
Format
Hardcover
Language
English
Topic
Finance / General
Publication Year
2022
Genre
Business & Economics
Number of Pages
Xxv, 407 Pages

Dimensions

Item Weight
0 Oz

Additional Product Features

Lc Classification Number
Hg176.7.O67 2022
Lccn
2021-056667
Dewey Decimal
658.15
Dewey Edition
23/Eng/20220105
Illustrated
Yes

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