Granularity Theory with Applications to Finance and Insuranc (Hardcover)
 
作者: Patrick Gagliardini 
分類: Econometrics  
書城編號: 1095421


售價: $966.00

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出版社: Cambridge University Press
出版日期: 2014/09/30
尺寸: 228x152x22mm
重量: 465 grams
ISBN: 9781107070837

商品簡介
The recent financial crisis has heightened the need for appropriate methodologies for managing and monitoring complex risks in financial markets. The measurement, management, and regulation of risks in portfolios composed of credits, credit derivatives, or life insurance contracts is difficult because of the nonlinearities of risk models, dependencies between individual risks, and the several thousands of contracts in large portfolios. The granularity principle was introduced in the Basel regulations for credit risk to solve these difficulties in computing capital reserves. In this book, authors Patrick Gagliardini and Christian Gouri roux provide the first comprehensive overview of the granularity theory and illustrate its usefulness for a variety of problems related to risk analysis, statistical estimation, and derivative pricing in finance and insurance. They show how the granularity principle leads to analytical formulas for risk analysis that are simple to implement and accurate even when the portfolio size is large.
Patrick Gagliardini 作者作品表

Granularity Theory with Applications to Finance and Insuranc (Hardcover)

Granularity Theory with Applications to Finance and Insuranc (Paperback)

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