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Author: Lionel Martellini
Publisher:
ISBN:
Category :
Languages : en
Pages : 390
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Book Description
Author: Lionel Martellini
Publisher:
ISBN:
Category :
Languages : en
Pages : 390
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Book Description
Author: Wenqing Wang
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 342
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Book Description
Author: David Lando
Publisher:
ISBN:
Category : Credit
Languages : en
Pages : 292
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Book Description
Author: George Yin
Publisher: Springer Nature
ISBN: 3030985199
Category : Mathematics
Languages : en
Pages : 466
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Book Description
This volume is a collection of research works to honor the late Professor Mark H.A. Davis, whose pioneering work in the areas of Stochastic Processes, Filtering, and Stochastic Optimization spans more than five decades. Invited authors include his dissertation advisor, past collaborators, colleagues, mentees, and graduate students of Professor Davis, as well as scholars who have worked in the above areas. Their contributions may expand upon topics in piecewise deterministic processes, pathwise stochastic calculus, martingale methods in stochastic optimization, filtering, mean-field games, time-inconsistency, as well as impulse, singular, risk-sensitive and robust stochastic control.
Author: Janke, Oliver
Publisher: Lehmanns Media
ISBN: 396543506X
Category : Business & Economics
Languages : en
Pages : 244
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Book Description
In this thesis, we analyze various problems of dynamic portfolio optimization as well as green capital requirements under risk constraints and incomplete information. First, we examine the problem of optimal expected utility under the constraint of a utility-based shortfall risk measure in an incomplete market. The existence and uniqueness of an optimal solution to the problem are shown using a Lagrange multiplier and duality methods. Second, we consider the optimization problem under various levels of the investor’s information. By using martingale representation theorems, we demonstrate the existence and uniqueness of optimal solutions, which differ in their market dynamics. Third, we analyze the effects of green- and brownwashing on banks’ lending to firms, on the regulator’s deposit insurance subsidy, and on carbon emissions under different green capital requirement functions. Furthermore, we show that green capital requirements may compromise financial stability.
Author: Tusheng Zhang
Publisher: World Scientific
ISBN: 9814489158
Category : Mathematics
Languages : en
Pages : 465
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Book Description
This volume is a collection of solicited and refereed articles from distinguished researchers across the field of stochastic analysis and its application to finance. The articles represent new directions and newest developments in this exciting and fast growing area. The covered topics range from Markov processes, backward stochastic differential equations, stochastic partial differential equations, stochastic control, potential theory, functional inequalities, optimal stopping, portfolio selection, to risk measure and risk theory.It will be a very useful book for young researchers who want to learn about the research directions in the area, as well as experienced researchers who want to know about the latest developments in the area of stochastic analysis and mathematical finance.
Author: David Frederik Schrager
Publisher: Rozenberg Publishers
ISBN: 9051709455
Category :
Languages : en
Pages : 195
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Book Description
Author: D N Shanbhag
Publisher: Gulf Professional Publishing
ISBN: 9780444500144
Category : Mathematics
Languages : en
Pages : 990
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Book Description
This volume in the series contains chapters on areas such as pareto processes, branching processes, inference in stochastic processes, Poisson approximation, Levy processes, and iterated random maps and some classes of Markov processes. Other chapters cover random walk and fluctuation theory, a semigroup representation and asymptomatic behavior of certain statistics of the Fisher-Wright-Moran coalescent, continuous-time ARMA processes, record sequence and their applications, stochastic networks with product form equilibrium, and stochastic processes in insurance and finance. Other subjects include renewal theory, stochastic processes in reliability, supports of stochastic processes of multiplicity one, Markov chains, diffusion processes, and Ito's stochastic calculus and its applications. c. Book News Inc.
Author: Enrique Martinez-Garcia
Publisher:
ISBN:
Category :
Languages : en
Pages : 198
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Book Description
Author: Frédéric Vrins
Publisher: MDPI
ISBN: 3039287605
Category : Business & Economics
Languages : en
Pages : 190
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Book Description
Credit risk remains one of the major risks faced by most financial and credit institutions. It is deeply connected to the real economy due to the systemic nature of some banks, but also because well-managed lending facilities are key for wealth creation and technological innovation. This book is a collection of innovative papers in the field of credit risk management. Besides the probability of default (PD), the major driver of credit risk is the loss given default (LGD). In spite of its central importance, LGD modeling remains largely unexplored in the academic literature. This book proposes three contributions in the field. Ye & Bellotti exploit a large private dataset featuring non-performing loans to design a beta mixture model. Their model can be used to improve recovery rate forecasts and, therefore, to enhance capital requirement mechanisms. François uses instead the price of defaultable instruments to infer the determinants of market-implied recovery rates and finds that macroeconomic and long-term issuer specific factors are the main determinants of market-implied LGDs. Cheng & Cirillo address the problem of modeling the dependency between PD and LGD using an original, urn-based statistical model. Fadina & Schmidt propose an improvement of intensity-based default models by accounting for ambiguity around both the intensity process and the recovery rate. Another topic deserving more attention is trade credit, which consists of the supplier providing credit facilities to his customers. Whereas this is likely to stimulate exchanges in general, it also magnifies credit risk. This is a difficult problem that remains largely unexplored. Kanapickiene & Spicas propose a simple but yet practical model to assess trade credit risk associated with SMEs and microenterprises operating in Lithuania. Another topical area in credit risk is counterparty risk and all other adjustments (such as liquidity and capital adjustments), known as XVA. Chataignier & Crépey propose a genetic algorithm to compress CVA and to obtain affordable incremental figures. Anagnostou & Kandhai introduce a hidden Markov model to simulate exchange rate scenarios for counterparty risk. Eventually, Boursicot et al. analyzes CoCo bonds, and find that they reduce the total cost of debt, which is positive for shareholders. In a nutshell, all the featured papers contribute to shedding light on various aspects of credit risk management that have, so far, largely remained unexplored.
