عنوان

Granularity theory with applications to finance and insurance

شابک

9781107070837 (hardback)

کد کشور

IR

شماره

3882

زبان متن نوشتاري يا گفتاري و مانند آن

انگلیسی

کشور محل نشر

IR

عنوان اصلي

Granularity theory with applications to finance and insurance

نام عام مواد

[Book]

نام نخستين پديدآور

/ Patrick Gagliardini, Universita della Svizzera Italiana, Switzerland

نام ساير پديدآوران

; Christian Gourieroux, CREST (Paris) and University of Toronto

محل نشرو پخش و غیره

New york

نام ناشر، پخش کننده و غيره

: cambridge

تاریخ نشرو بخش و غیره

, 2014.

نام خاص و کميت اثر

xvi, 186 pages

ساير جزييات

: illustrations

عنوان فروست

(Themes in modern econometrics)

متن يادداشت

Language: انگلیسی

متن يادداشت

Print

متن يادداشت

Includes bibliographical references and index.

متن يادداشت

"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 Gourieroux 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"--Provided by publisher.

موضوع مستند نشده

Finance--Mathematical models

موضوع مستند نشده

Insurance--Mathematical models

موضوع مستند نشده

BUSINESS & ECONOMICS / Econometrics.--bisacsh

شماره رده

نشانه اثر

مستند نام اشخاص تاييد نشده

Gagliardini, Patrick, 1974

مستند نام اشخاص تاييد نشده

Gourieroux, Christian، 1949

کشور

ایران

وضعیت فهرست نویسی

old catalog

فرمت انتشار

p

نوع ماده

BL

پیشوند ISBD اعمال شده است

1

سطح دسترسي

a

تكميل شده

Y