Titlebook: Credit-Risk Modelling; Theoretical Foundati David Jamieson Bolder Book 2018 Springer International Publishing AG, part of Springer Nature 2

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https://doi.org/10.1007/978-3-319-94688-7python code; monte carlo; financial engineering; model risk; risk modeling; default risk; binomial models;

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Wettbewerbsorientierte Portfolios,his chapter thus begins by explaining the purview of credit-risk perspectives adopted, or scope, in the following discussion. The subsequent chapters, to be clear, consider static, structural and reduced-form, credit-risk models in a portfolio setting from a predominately risk-management perspective

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Bestehende und potenzielle Wettbewerber,dent Bernoulli trials, a binomial default-loss distribution emerges. A critical assumption of this introductory approach, however, is statistical independence between the default of various obligors in one’s portfolio. While of great mathematical convenience, this is an indefensible supposition. Not

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Bestehende und potenzielle Wettbewerber,ing, but the tails of the associated loss distribution are overly thin and its asymptotic behaviour is simply too well behaved. This chapter offers a family of approaches—generally referred to as mixture or actuarial models—to address each of these shortcomings. The principle idea behind this new me

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Nichtmetallisch-anorganische Werkstoffe,sions. Regulators, in a slightly alternative context, perform a similar task. They face, however, a rather different set of constraints and objectives. Regulators, in fact, use standardized models to promote fairness, a level playing field, monitor the solvency of individual entities, and enhance ov

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