Optimal Control of Credit Risk presents an alternative methodology to deal with a financial problem that has not been well analyzed yet: the control of credit risk. Credit risk has become recently the center of interest of the financial community, with new instruments (such as Credit Risk Derivatives) and new methodologies (such as Credit Metrics) being developed. The recent literature has focused on the pricing of credit risk. On the other hand, practitioners tend to eliminate credit risk rather than price it. They do so via collateralization. The authors propose here a methodological basis for an optimal collateralization.
The monograph is organized as follows: Chapter 1 reviews the main avenues of literature related to our problem; Chapter 2 provides a brief overview of the main optimal control principles; and Chapter 3 presents the models and their setting.
In the remaining chapters, the authors propose two sets of programs. One set of programs will apply in cases where the information on the assets=value is readily available (full observation case), while the other applies when costly audits are needed in order to assess this value (partial observation case).
In either case, the modeling stage leads to a set of quasi-variational inequalities which the authors attempt to solve numerically in the simpler case of full observations. This is done in Chapter 6. Finally a simulation analysis is carried out in Chapter 7, in which the authors study the influence on the control process of changes in the different model parameters. This precedes a discussion on possible extensions in Chapter 8 and some concluding remarks in Section 9.
"synopsis" may belong to another edition of this title.
This title presents an alternative methodology to deal with a financial problem that has not been well analyzed yet - the control of credit risk. Credit risk has become the centre of interest of the financial community, with new instruments (such as credit risk derivatives) and new methodologies (such as credit metrics) being developed. The recent literature has focused on the pricing of credit risk. On the other hand, practitioners tend to eliminate credit risk rather than price it. They do so via collateralization. The authors offer methodological basis for an optimal collateralization. The monograph is organized as follows: chapter 1 reviews the main avenues of literature related to our problem; chapter 2 provides a brief overview of the main optimal control principles; and chapter 3 presents the models and their setting. In the remaining chapters, the authors propose two sets of programmes. One set of programmes will apply in cases where the information on the assets=value is readily available (full observation case), while the other applies when costly audits are needed in order to assess this value (partial observation case).
In either case, the modelling stage leads to a set of quasi-variational inequalities which the authors attempt to solve numerically in the simpler case of full observations. This is done in chapter 6. Finally a simulation analysis is carried out in chapter 7, in which the authors study the influence on the control process of changes in the different model parameters. This precedes a discussion on possible extensions in chapter 8 and some concluding remarks in section 9."About this title" may belong to another edition of this title.
£ 4.48 shipping within United Kingdom
Destination, rates & speedsSeller: Anybook.com, Lincoln, United Kingdom
Condition: Good. Volume 3. This is an ex-library book and may have the usual library/used-book markings inside.This book has hardback covers. Clean from markings. In good all round condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,400grams, ISBN:9780792379386. Seller Inventory # 9712949
Quantity: 1 available
Seller: Buchpark, Trebbin, Germany
Condition: Hervorragend. Zustand: Hervorragend | Seiten: 116 | Sprache: Englisch | Produktart: Bücher. Seller Inventory # 1432261/1
Quantity: 1 available
Seller: Ria Christie Collections, Uxbridge, United Kingdom
Condition: New. In. Seller Inventory # ria9780792379386_new
Quantity: Over 20 available
Seller: moluna, Greven, Germany
Gebunden. Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Optimal Control of Credit Risk presents an alternative methodology to deal with a financial problem that has not been well analyzed yet: the control of credit risk. Credit risk has become recently the center of interest of the financial communit. Seller Inventory # 5970546
Quantity: Over 20 available
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
Buch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Optimal Control of Credit Risk presents an alternative methodology to deal with a financial problem that has not been well analyzed yet: the control of credit risk. Credit risk has become recently the center of interest of the financial community, with new instruments (such as Credit Risk Derivatives) and new methodologies (such as Credit Metrics) being developed. The recent literature has focused on the pricing of credit risk. On the other hand, practitioners tend to eliminate credit risk rather than price it. They do so via collateralization. The authors propose here a methodological basis for an optimal collateralization. The monograph is organized as follows: Chapter 1 reviews the main avenues of literature related to our problem; Chapter 2 provides a brief overview of the main optimal control principles; and Chapter 3 presents the models and their setting. In the remaining chapters, the authors propose two sets of programs. One set of programs will apply in cases where the information on the assets=value is readily available (full observation case), while the other applies when costly audits are needed in order to assess this value (partial observation case). In either case, the modeling stage leads to a set of quasi-variational inequalities which the authors attempt to solve numerically in the simpler case of full observations. This is done in Chapter 6. Finally a simulation analysis is carried out in Chapter 7, in which the authors study the influence on the control process of changes in the different model parameters. This precedes a discussion on possible extensions in Chapter 8 and some concluding remarks in Section 9. 116 pp. Englisch. Seller Inventory # 9780792379386
Quantity: 2 available
Seller: AHA-BUCH GmbH, Einbeck, Germany
Buch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - Optimal Control of Credit Risk presents an alternative methodology to deal with a financial problem that has not been well analyzed yet: the control of credit risk. Credit risk has become recently the center of interest of the financial community, with new instruments (such as Credit Risk Derivatives) and new methodologies (such as Credit Metrics) being developed. The recent literature has focused on the pricing of credit risk. On the other hand, practitioners tend to eliminate credit risk rather than price it. They do so via collateralization. The authors propose here a methodological basis for an optimal collateralization. The monograph is organized as follows: Chapter 1 reviews the main avenues of literature related to our problem; Chapter 2 provides a brief overview of the main optimal control principles; and Chapter 3 presents the models and their setting. In the remaining chapters, the authors propose two sets of programs. One set of programs will apply in cases where the information on the assets=value is readily available (full observation case), while the other applies when costly audits are needed in order to assess this value (partial observation case). In either case, the modeling stage leads to a set of quasi-variational inequalities which the authors attempt to solve numerically in the simpler case of full observations. This is done in Chapter 6. Finally a simulation analysis is carried out in Chapter 7, in which the authors study the influence on the control process of changes in the different model parameters. This precedes a discussion on possible extensions in Chapter 8 and some concluding remarks in Section 9. Seller Inventory # 9780792379386
Quantity: 1 available
Seller: THE SAINT BOOKSTORE, Southport, United Kingdom
Hardback. Condition: New. This item is printed on demand. New copy - Usually dispatched within 5-9 working days 375. Seller Inventory # C9780792379386
Quantity: Over 20 available
Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germany
Buch. Condition: Neu. Neuware -Optimal Control of Credit Risk presents an alternative methodology to deal with a financial problem that has not been well analyzed yet: the control of credit risk. Credit risk has become recently the center of interest of the financial community, with new instruments (such as Credit Risk Derivatives) and new methodologies (such as Credit Metrics) being developed. The recent literature has focused on the pricing of credit risk. On the other hand, practitioners tend to eliminate credit risk rather than price it. They do so via collateralization. The authors propose here a methodological basis for an optimal collateralization.The monograph is organized as follows: Chapter 1 reviews the main avenues of literature related to our problem; Chapter 2 provides a brief overview of the main optimal control principles; and Chapter 3 presents the models and their setting.In the remaining chapters, the authors propose two sets of programs. One set of programs will apply in cases where the information on the assets=value is readily available (full observation case), while the other applies when costly audits are needed in order to assess this value (partial observation case).In either case, the modeling stage leads to a set of quasi-variational inequalities which the authors attempt to solve numerically in the simpler case of full observations. This is done in Chapter 6. Finally a simulation analysis is carried out in Chapter 7, in which the authors study the influence on the control process of changes in the different model parameters. This precedes a discussion on possible extensions in Chapter 8 and some concluding remarks in Section 9. 116 pp. Englisch. Seller Inventory # 9780792379386
Quantity: 2 available
Seller: Lucky's Textbooks, Dallas, TX, U.S.A.
Condition: New. Seller Inventory # ABLIING23Feb2416190184891
Quantity: Over 20 available
Seller: Mispah books, Redhill, SURRE, United Kingdom
Hardcover. Condition: Like New. Like New. book. Seller Inventory # ERICA79707923793816
Quantity: 1 available