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hardcover. Good. Access codes and supplements are not guaranteed with used items. May be an ex-library book. ISBN 9811252351 9789811252358 [US]

World Scientific Pub Co Inc, Date: 2022. Hardcover. New. 436 pages. 9.61x6.69x0.94 inches. 2022. World Scientific Pub Co Inc ISBN 9811252351 9789811252358 [GB]

Hard Cover. New. New Book; Fast Shipping from UK; Not signed; Not First Edition; The Modern Financial Engineering: Counterparty, Credit, Portfolio and Systemic Risks. ISBN 9811252351 9789811252358 [GB]

ISBN10: 9811252351, ISBN13: 9789811252358, [publisher: WSPC] Hardcover nach der Bestellung gedruckt Neuware - Printed after ordering - The book offers an overview of credit risk modeling and management. A three-step approach is adopted with the contents, after introducing the essential concepts of both mathematics and finance. Initially the focus is on the modeling of credit risk parameters mainly at the level of individual debtor and transaction, after which the book delves into counterparty credit risk, thus providing the link between credit and market risks. The second part is aimed at the portfolio level when multiple loans are pooled and default correlation becomes an important factor to consider and model. In this respect, the book explains how copulas help in modeling. The final stage is the macro perspective when the combination of credit risks related to financial institutions produces systemic risk and affects overall financial stability. The entire approach is two-dimensional as well. First, all modeling steps have replicable programming codes both in R and Matlab. In this way, the reader can experience the impact of changing the default probabilities of a given borrower or the weights of a sector. Second, at each stage, the book discusses the regulatory environment. This is because, at times, regulation can have stricter constraints than the outcome of internal models. In summary, the book guides the reader in modeling and managing credit risk by ...
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