Credit-Risk Modelling: Theoretical Foundations, Diagnostic Tools, Practical Examples, and Numerical Recipes in Python

by Bolder, David Jamieson
ISBN: 9783030069001
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Overview

Getting Started.- Part I Modelling Frameworks.- A Natural First Step.-Mixture or Actuarial Models.- Threshold Models.-The Genesis of Credit-Risk Modelling.- Part II Diagnostic Tools.- A Regulatory Perspective.- Risk Attribution.- Monte Carlo Methods.- Part III Parameter Estimation.- Default Probabilities.- Default and Asset Correlation.

  • Format: TradePaperback
  • Author: Bolder, David Jamieson
  • ISBN: 9783030069001
  • Condition: Used
  • Dimensions: 9.21 x 1.44
  • Number Of Pages: 684
  • Publication Year: 2019
Language: English