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000851726 019__ $$a1063751862$$a1066141154
000851726 020__ $$a9783319946887$$q(electronic book)
000851726 020__ $$a3319946889$$q(electronic book)
000851726 020__ $$z9783319946870
000851726 020__ $$z3319946870
000851726 035__ $$aSP(OCoLC)on1061148117
000851726 035__ $$aSP(OCoLC)1061148117$$z(OCoLC)1063751862$$z(OCoLC)1066141154
000851726 040__ $$aN$T$$beng$$erda$$epn$$cN$T$$dN$T$$dYDX$$dEBLCP
000851726 049__ $$aISEA
000851726 050_4 $$aHG3751
000851726 08204 $$a658.8/80151$$223
000851726 1001_ $$aBolder, David,$$eauthor.
000851726 24510 $$aCredit-risk modelling :$$btheoretical foundations, diagnostic tools, practical examples, and numerical recipes in Python /$$cDavid Jamieson Bolder.
000851726 264_1 $$aCham, Switzerland :$$bSpringer,$$c[2018]
000851726 300__ $$a1 online resource.
000851726 336__ $$atext$$btxt$$2rdacontent
000851726 337__ $$acomputer$$bc$$2rdamedia
000851726 338__ $$aonline resource$$bcr$$2rdacarrier
000851726 504__ $$aIncludes bibliographical references and index.
000851726 5050_ $$aIntro; Foreword; Preface; My Motivation; Transparency and Accessibility; Concreteness; Multiplicity of Perspective; Some Important Caveats; References; Acknowledgements; Contents; List of Figures; List of Tables; List of Algorithms; 1 Getting Started; 1.1 Alternative Perspectives; 1.1.1 Pricing or Risk-Management?; 1.1.2 Minding our P's and Q's; 1.1.3 Instruments or Portfolios?; 1.1.4 The Time Dimension; 1.1.5 Type of Credit-Risk Model; 1.1.6 Clarifying Our Perspective; 1.2 A Useful Dichotomy; 1.2.1 Modelling Implications; 1.2.2 Rare Events; 1.3 Seeing the Forest; 1.3.1 Modelling Frameworks
000851726 5058_ $$a1.3.2 Diagnostic Tools1.3.3 Estimation Techniques; 1.3.4 The Punchline; 1.4 Prerequisites; 1.5 Our Sample Portfolio; 1.6 A Quick Pre-Screening; 1.6.1 A Closer Look at Our Portfolio; 1.6.2 The Default-Loss Distribution; 1.6.3 Tail Probabilities and Risk Measures; 1.6.4 Decomposing Risk; 1.6.5 Summing Up; 1.7 Final Thoughts; References; Part I Modelling Frameworks; Reference; 2 A Natural First Step; 2.1 Motivating a Default Model; A Bit of Structure; 2.1.1 Two Instruments; 2.1.2 Multiple Instruments; 2.1.3 Dependence; 2.2 Adding Formality; 2.2.1 An Important Aside; 2.2.2 A Numerical Solution
000851726 5058_ $$a2.2.2.1 Bernoulli Trials2.2.2.2 Practical Details; 2.2.2.3 Some Results; 2.2.3 An Analytical Approach; 2.2.3.1 Putting It into Action; 2.2.3.2 Comparing Key Assumptions; 2.3 Convergence Properties; Convergence in Probability; Almost-Sure Convergence; Cutting to the Chase; 2.4 Another Entry Point; A Numerical Implementation; The Analytic Model; The Law of Rare Events; 2.5 Final Thoughts; References; 3 Mixture or Actuarial Models; 3.1 Binomial-Mixture Models; Conditional Independence; Default-Correlation Coefficient; The Distribution of DN; Convergence Properties
000851726 5058_ $$a3.1.1 The Beta-Binomial Mixture Model3.1.1.1 Beta-Parameter Calibration; 3.1.1.2 Back to Our Example; 3.1.1.3 Non-homogeneous Exposures; 3.1.2 The Logit- and Probit-Normal Mixture Models; 3.1.2.1 Deriving the Mixture Distributions; 3.1.2.2 Numerical Integration; 3.1.2.3 Logit- and Probit-Normal Calibration; 3.1.2.4 Logit- and Probit-Normal Results; 3.2 Poisson-Mixture Models; 3.2.1 The Poisson-Gamma Approach; 3.2.1.1 Calibrating the Poisson-Gamma Mixture Model; 3.2.1.2 A Quick and Dirty Calibration; 3.2.1.3 Poisson-Gamma Results; 3.2.2 Other Poisson-Mixture Approaches
000851726 5058_ $$a3.2.2.1 A Calibration Comparison3.2.3 Poisson-Mixture Comparison; 3.3 CreditRisk+; 3.3.1 A One-Factor Implementation; 3.3.2 A Multi-Factor CreditRisk+ Example; 3.4 Final Thoughts; References; 4 Threshold Models; 4.1 The Gaussian Model; 4.1.1 The Latent Variable; 4.1.2 Introducing Dependence; 4.1.3 The Default Trigger; 4.1.4 Conditionality; 4.1.5 Default Correlation; 4.1.6 Calibration; 4.1.7 Gaussian Model Results; 4.2 The Limit-Loss Distribution; 4.2.1 The Limit-Loss Density; 4.2.2 Analytic Gaussian Results; 4.3 Tail Dependence; 4.3.1 The Tail-Dependence Coefficient
000851726 506__ $$aAccess limited to authorized users.
000851726 588__ $$aOnline resource; title from PDF title page (viewed November 7, 2018).
000851726 650_0 $$aCredit$$xMathematical models.
000851726 650_0 $$aFinancial risk management$$xMathematical models.
000851726 650_0 $$aPython (Computer program language)
000851726 77608 $$iPrint version: $$z3319946870$$z9783319946870$$w(OCoLC)1037807185
000851726 852__ $$bebk
000851726 85640 $$3SpringerLink$$uhttps://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-319-94688-7$$zOnline Access$$91397441.1
000851726 909CO $$ooai:library.usi.edu:851726$$pGLOBAL_SET
000851726 980__ $$aEBOOK
000851726 980__ $$aBIB
000851726 982__ $$aEbook
000851726 983__ $$aOnline
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