发帖
雷达卡
- David Jamieson Bolder
- IntroductionThe risk of counterparty default in banking, insurance, institutional, and pension-fund portfolios is an area of ongoing and increasing importance for finance practitioners. It is, unfortunately, a topic with a high degree of technical complexity. Addressing this challenge, this book provides a comprehensive and attainable mathematical and statistical discussion of a broad range of existing default-risk models. Model description and derivation, however, is only part of the story. Through use of exhaustive practical examples and extensive code illustrations in the Python programming language, this work also explicitly shows the reader how these models are implemented. Bringing these complex approaches to life by combining the technical details with actual real-life Python code reduces the burden of model complexity and enhances accessibility to this decidedly specialized field of study. The entire work is also liberally supplemented with model-diagnostic, calibration, and parameter-estimation techniques to assist the quantitative analyst in day-to-day implementation as well as in mitigating model risk. Written by an active and experienced practitioner, it is an invaluable learning resource and reference text for financial-risk practitioners and an excellent source for advanced undergraduate and graduate students seeking to acquire knowledge of the key elements of this discipline. TOC
David Jamieson Bolder
Pages 41-83
David Jamieson Bolder
Pages 85-148
David Jamieson Bolder
Pages 149-227
4. The Genesis ofCredit-Risk Modelling
David Jamieson Bolder
Pages 229-283
2. Part II
1. Front Matter
Pages 285-286
David Jamieson Bolder
Pages 287-349
David Jamieson Bolder
Pages 351-427
David Jamieson Bolder
Pages 429-487
3. Part III
1. Front Matter
Pages 489-489
David Jamieson Bolder
Pages 491-573
3. Default andAsset Correlation
David Jamieson Bolder
Pages 575-635
是本好书，里边用python实现，最重要的是理论推导非常细致。值得一读。
京公网安备 11010802022788号
