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dc.contributor.authorElouerkhaoui, Youssef, ; author ;en_US
dc.date.accessioned2013en_US
dc.date.accessioned2020-04-28T08:41:04Z-
dc.date.available2020-04-28T08:41:04Z-
dc.date.issued2017en_US
dc.identifier.isbn9783319609737 ; (electronic bk.) ;en_US
dc.identifier.isbn3319609734 ; (electronic bk.) ;en_US
dc.identifier.isbn3319609726 ;en_US
dc.identifier.isbn9783319609720 ;en_US
dc.identifier.urihttp://localhost/handle/Hannan/36-
dc.descriptionen_US
dc.descriptionAvailable to OhioLINK libraries ;en_US
dc.descriptionen_US
dc.descriptionOhio Library and Information Network ;en_US
dc.descriptionen_US
dc.descriptionen_US
dc.descriptionPrint version: ; Elouerkhaoui, Youssef ; Credit Correlation : Theory and Practice ; Cham : Springer International Publishing,c2017 ; 9783319609720 ;en_US
dc.descriptionen_US
dc.descriptionen_US
dc.description.statementofresponsibilityYoussef Elouerkhaouien_US
dc.description.tableofcontentsPreface; Objectives, Audience and Structure; Description of Contents by Chapter; Acknowledgements; Contents; List of Figures; 1 Introduction and Context; 1.1 Synopsis of Credit Derivative Products; 1.1.1 Credit Default Swaps; 1.1.2 First to Default Swaps; 1.1.3 Collateralized Debt Obligations; 1.2 Motivation for Credit Correlation Models; 1.3 A Timeline of Credit Correlation Modelling; References; Theoretical Tools; 2 Mathematical Fundamentals; 2.1 Credit Pricing Building Blocks; 2.1.1 Cox Process; 2.1.2 Three Building Blocks; 2.2 Point Processes, Filtrations and Intensities ;en_US
dc.description.tableofcontents2.2.1 Counting Process2.2.2 Doubly Stochastic Poisson Process; 2.2.3 Watanabe's Characterization; 2.2.4 Stochastic Intensity; 2.2.5 Predictable Intensities; 2.2.6 Change of Filtration; 2.2.7 Random Time Change; 2.3 Copulas; 2.3.1 Sklar's Theorem; 2.3.2 Dependence Concepts; 2.3.3 Elliptical Copulas; 2.3.4 Archimedean Copulas; 2.3.5 Marshall-Olkin Copulas; References; 3 Expectations in the Enlarged Filtration; 3.1 The Dellacherie Formula; 3.2 Generalized Dellacherie Formula; References; 4 Copulas and Conditional Jump Diffusions; 4.1 Introduction; 4.2 The Model ;en_US
dc.description.tableofcontents4.3 Interacting Itee eend Point Processes4.4 The Copula Approach; 4.5 Numerical Examples; 4.6 Conclusion; Note; References; Correlation Models: Practical Implementation; 5 Correlation Demystified: A General Overview; 5.1 Base Correlation; 5.1.1 One-Factor Gaussian Copula; 5.1.2 Pricing CDOs; 5.1.3 Large Homogenous Portfolio; 5.1.4 FFT and Recursion; 5.1.5 Normal, Poisson and Stein Approximations; 5.1.6 Compound Correlation; 5.1.7 Base Correlation Curve; 5.2 Skew Rescaling; 5.2.1 Portfolio Loss Rescaling; 5.2.2 Probability Loss Rescaling; 5.2.3 Tranche Loss Rescaling ;en_US
dc.description.tableofcontents5.2.4 Mapping, Blending and Interpolation5.3 CDO2; 5.3.1 Loss Copula; 5.3.2 Conditional Loss Copula; 5.3.3 Bespoke CDO2 Skew; 5.3.4 Summary; 5.4 Expected Tranche Loss Surface; 5.4.1 The Problem; 5.4.2 Equity Tranche Forward Rate Curve; 5.5 Entropy Maximization; 5.5.1 Principle of Maximum Entropy; 5.5.2 Problem Formulation; 5.5.3 Dual Problem; 5.5.4 Regularization; 5.5.5 Minimum Relative Entropy; 5.6 Concluding Remarks; References; 6 Correlation Skew: A Black-Scholes Approach; 6.1 Introduction; 6.2 Building a Black-Scholes Model; 6.3 Stochastic CEV Model; 6.4 Calibration Example ;en_US
dc.description.tableofcontents6.5 Skew Dynamics6.6 Risk Management; References; 7 An Introduction to the Marshall-Olkin Copula; 7.1 Introduction; 7.2 Genesis of the Marshall-Olkin Model; 7.2.1 Construction of Correlation; 7.2.2 Copula Function; 7.2.3 Numerical Implementation; 7.3 Calibration; 7.3.1 Background Radiation; 7.3.2 The Expanding Universe; 7.3.3 The Big Bang State; 7.3.4 Correlation Regimes; 7.4 Marshall-Olkin Vs Gaussian Copula; 7.4.1 Multimodal Default Distribution; 7.4.2 Correlation Term Structure; 7.4.3 Correlation Skew; 7.5 Conclusion; Notes; References; 8 Numerical Tools: Basket Expansions ;en_US
dc.format.extent1 online resource (466 p.) ;en_US
dc.format.extentIncludes bibliographical references ;en_US
dc.format.extentDescription based upon print version of record ;en_US
dc.format.extent8.1 Introduction ;en_US
dc.publisherPalgrave Macmillan,en_US
dc.relation.ispartofseriesApplied quantitative finance ;en_US
dc.relation.ispartofseriesApplied quantitative finance ;en_US
dc.relation.haspart9783319609737.pdfen_US
dc.subjectCredit ;en_US
dc.titleCredit correlation :en_US
dc.title.alternativetheory and practice /en_US
dc.typeBooken_US
dc.publisher.placeCham, Switzerland :en_US
dc.classification.lcHG3701 ;en_US
Appears in Collections:مدیریت مالی گرایش بانکداری

Files in This Item:
File Description SizeFormat 
9783319609737.pdf7.66 MBAdobe PDFThumbnail
Preview File
Full metadata record
DC FieldValueLanguage
dc.contributor.authorElouerkhaoui, Youssef, ; author ;en_US
dc.date.accessioned2013en_US
dc.date.accessioned2020-04-28T08:41:04Z-
dc.date.available2020-04-28T08:41:04Z-
dc.date.issued2017en_US
dc.identifier.isbn9783319609737 ; (electronic bk.) ;en_US
dc.identifier.isbn3319609734 ; (electronic bk.) ;en_US
dc.identifier.isbn3319609726 ;en_US
dc.identifier.isbn9783319609720 ;en_US
dc.identifier.urihttp://localhost/handle/Hannan/36-
dc.descriptionen_US
dc.descriptionAvailable to OhioLINK libraries ;en_US
dc.descriptionen_US
dc.descriptionOhio Library and Information Network ;en_US
dc.descriptionen_US
dc.descriptionen_US
dc.descriptionPrint version: ; Elouerkhaoui, Youssef ; Credit Correlation : Theory and Practice ; Cham : Springer International Publishing,c2017 ; 9783319609720 ;en_US
dc.descriptionen_US
dc.descriptionen_US
dc.description.statementofresponsibilityYoussef Elouerkhaouien_US
dc.description.tableofcontentsPreface; Objectives, Audience and Structure; Description of Contents by Chapter; Acknowledgements; Contents; List of Figures; 1 Introduction and Context; 1.1 Synopsis of Credit Derivative Products; 1.1.1 Credit Default Swaps; 1.1.2 First to Default Swaps; 1.1.3 Collateralized Debt Obligations; 1.2 Motivation for Credit Correlation Models; 1.3 A Timeline of Credit Correlation Modelling; References; Theoretical Tools; 2 Mathematical Fundamentals; 2.1 Credit Pricing Building Blocks; 2.1.1 Cox Process; 2.1.2 Three Building Blocks; 2.2 Point Processes, Filtrations and Intensities ;en_US
dc.description.tableofcontents2.2.1 Counting Process2.2.2 Doubly Stochastic Poisson Process; 2.2.3 Watanabe's Characterization; 2.2.4 Stochastic Intensity; 2.2.5 Predictable Intensities; 2.2.6 Change of Filtration; 2.2.7 Random Time Change; 2.3 Copulas; 2.3.1 Sklar's Theorem; 2.3.2 Dependence Concepts; 2.3.3 Elliptical Copulas; 2.3.4 Archimedean Copulas; 2.3.5 Marshall-Olkin Copulas; References; 3 Expectations in the Enlarged Filtration; 3.1 The Dellacherie Formula; 3.2 Generalized Dellacherie Formula; References; 4 Copulas and Conditional Jump Diffusions; 4.1 Introduction; 4.2 The Model ;en_US
dc.description.tableofcontents4.3 Interacting Itee eend Point Processes4.4 The Copula Approach; 4.5 Numerical Examples; 4.6 Conclusion; Note; References; Correlation Models: Practical Implementation; 5 Correlation Demystified: A General Overview; 5.1 Base Correlation; 5.1.1 One-Factor Gaussian Copula; 5.1.2 Pricing CDOs; 5.1.3 Large Homogenous Portfolio; 5.1.4 FFT and Recursion; 5.1.5 Normal, Poisson and Stein Approximations; 5.1.6 Compound Correlation; 5.1.7 Base Correlation Curve; 5.2 Skew Rescaling; 5.2.1 Portfolio Loss Rescaling; 5.2.2 Probability Loss Rescaling; 5.2.3 Tranche Loss Rescaling ;en_US
dc.description.tableofcontents5.2.4 Mapping, Blending and Interpolation5.3 CDO2; 5.3.1 Loss Copula; 5.3.2 Conditional Loss Copula; 5.3.3 Bespoke CDO2 Skew; 5.3.4 Summary; 5.4 Expected Tranche Loss Surface; 5.4.1 The Problem; 5.4.2 Equity Tranche Forward Rate Curve; 5.5 Entropy Maximization; 5.5.1 Principle of Maximum Entropy; 5.5.2 Problem Formulation; 5.5.3 Dual Problem; 5.5.4 Regularization; 5.5.5 Minimum Relative Entropy; 5.6 Concluding Remarks; References; 6 Correlation Skew: A Black-Scholes Approach; 6.1 Introduction; 6.2 Building a Black-Scholes Model; 6.3 Stochastic CEV Model; 6.4 Calibration Example ;en_US
dc.description.tableofcontents6.5 Skew Dynamics6.6 Risk Management; References; 7 An Introduction to the Marshall-Olkin Copula; 7.1 Introduction; 7.2 Genesis of the Marshall-Olkin Model; 7.2.1 Construction of Correlation; 7.2.2 Copula Function; 7.2.3 Numerical Implementation; 7.3 Calibration; 7.3.1 Background Radiation; 7.3.2 The Expanding Universe; 7.3.3 The Big Bang State; 7.3.4 Correlation Regimes; 7.4 Marshall-Olkin Vs Gaussian Copula; 7.4.1 Multimodal Default Distribution; 7.4.2 Correlation Term Structure; 7.4.3 Correlation Skew; 7.5 Conclusion; Notes; References; 8 Numerical Tools: Basket Expansions ;en_US
dc.format.extent1 online resource (466 p.) ;en_US
dc.format.extentIncludes bibliographical references ;en_US
dc.format.extentDescription based upon print version of record ;en_US
dc.format.extent8.1 Introduction ;en_US
dc.publisherPalgrave Macmillan,en_US
dc.relation.ispartofseriesApplied quantitative finance ;en_US
dc.relation.ispartofseriesApplied quantitative finance ;en_US
dc.relation.haspart9783319609737.pdfen_US
dc.subjectCredit ;en_US
dc.titleCredit correlation :en_US
dc.title.alternativetheory and practice /en_US
dc.typeBooken_US
dc.publisher.placeCham, Switzerland :en_US
dc.classification.lcHG3701 ;en_US
Appears in Collections:مدیریت مالی گرایش بانکداری

Files in This Item:
File Description SizeFormat 
9783319609737.pdf7.66 MBAdobe PDFThumbnail
Preview File
Full metadata record
DC FieldValueLanguage
dc.contributor.authorElouerkhaoui, Youssef, ; author ;en_US
dc.date.accessioned2013en_US
dc.date.accessioned2020-04-28T08:41:04Z-
dc.date.available2020-04-28T08:41:04Z-
dc.date.issued2017en_US
dc.identifier.isbn9783319609737 ; (electronic bk.) ;en_US
dc.identifier.isbn3319609734 ; (electronic bk.) ;en_US
dc.identifier.isbn3319609726 ;en_US
dc.identifier.isbn9783319609720 ;en_US
dc.identifier.urihttp://localhost/handle/Hannan/36-
dc.descriptionen_US
dc.descriptionAvailable to OhioLINK libraries ;en_US
dc.descriptionen_US
dc.descriptionOhio Library and Information Network ;en_US
dc.descriptionen_US
dc.descriptionen_US
dc.descriptionPrint version: ; Elouerkhaoui, Youssef ; Credit Correlation : Theory and Practice ; Cham : Springer International Publishing,c2017 ; 9783319609720 ;en_US
dc.descriptionen_US
dc.descriptionen_US
dc.description.statementofresponsibilityYoussef Elouerkhaouien_US
dc.description.tableofcontentsPreface; Objectives, Audience and Structure; Description of Contents by Chapter; Acknowledgements; Contents; List of Figures; 1 Introduction and Context; 1.1 Synopsis of Credit Derivative Products; 1.1.1 Credit Default Swaps; 1.1.2 First to Default Swaps; 1.1.3 Collateralized Debt Obligations; 1.2 Motivation for Credit Correlation Models; 1.3 A Timeline of Credit Correlation Modelling; References; Theoretical Tools; 2 Mathematical Fundamentals; 2.1 Credit Pricing Building Blocks; 2.1.1 Cox Process; 2.1.2 Three Building Blocks; 2.2 Point Processes, Filtrations and Intensities ;en_US
dc.description.tableofcontents2.2.1 Counting Process2.2.2 Doubly Stochastic Poisson Process; 2.2.3 Watanabe's Characterization; 2.2.4 Stochastic Intensity; 2.2.5 Predictable Intensities; 2.2.6 Change of Filtration; 2.2.7 Random Time Change; 2.3 Copulas; 2.3.1 Sklar's Theorem; 2.3.2 Dependence Concepts; 2.3.3 Elliptical Copulas; 2.3.4 Archimedean Copulas; 2.3.5 Marshall-Olkin Copulas; References; 3 Expectations in the Enlarged Filtration; 3.1 The Dellacherie Formula; 3.2 Generalized Dellacherie Formula; References; 4 Copulas and Conditional Jump Diffusions; 4.1 Introduction; 4.2 The Model ;en_US
dc.description.tableofcontents4.3 Interacting Itee eend Point Processes4.4 The Copula Approach; 4.5 Numerical Examples; 4.6 Conclusion; Note; References; Correlation Models: Practical Implementation; 5 Correlation Demystified: A General Overview; 5.1 Base Correlation; 5.1.1 One-Factor Gaussian Copula; 5.1.2 Pricing CDOs; 5.1.3 Large Homogenous Portfolio; 5.1.4 FFT and Recursion; 5.1.5 Normal, Poisson and Stein Approximations; 5.1.6 Compound Correlation; 5.1.7 Base Correlation Curve; 5.2 Skew Rescaling; 5.2.1 Portfolio Loss Rescaling; 5.2.2 Probability Loss Rescaling; 5.2.3 Tranche Loss Rescaling ;en_US
dc.description.tableofcontents5.2.4 Mapping, Blending and Interpolation5.3 CDO2; 5.3.1 Loss Copula; 5.3.2 Conditional Loss Copula; 5.3.3 Bespoke CDO2 Skew; 5.3.4 Summary; 5.4 Expected Tranche Loss Surface; 5.4.1 The Problem; 5.4.2 Equity Tranche Forward Rate Curve; 5.5 Entropy Maximization; 5.5.1 Principle of Maximum Entropy; 5.5.2 Problem Formulation; 5.5.3 Dual Problem; 5.5.4 Regularization; 5.5.5 Minimum Relative Entropy; 5.6 Concluding Remarks; References; 6 Correlation Skew: A Black-Scholes Approach; 6.1 Introduction; 6.2 Building a Black-Scholes Model; 6.3 Stochastic CEV Model; 6.4 Calibration Example ;en_US
dc.description.tableofcontents6.5 Skew Dynamics6.6 Risk Management; References; 7 An Introduction to the Marshall-Olkin Copula; 7.1 Introduction; 7.2 Genesis of the Marshall-Olkin Model; 7.2.1 Construction of Correlation; 7.2.2 Copula Function; 7.2.3 Numerical Implementation; 7.3 Calibration; 7.3.1 Background Radiation; 7.3.2 The Expanding Universe; 7.3.3 The Big Bang State; 7.3.4 Correlation Regimes; 7.4 Marshall-Olkin Vs Gaussian Copula; 7.4.1 Multimodal Default Distribution; 7.4.2 Correlation Term Structure; 7.4.3 Correlation Skew; 7.5 Conclusion; Notes; References; 8 Numerical Tools: Basket Expansions ;en_US
dc.format.extent1 online resource (466 p.) ;en_US
dc.format.extentIncludes bibliographical references ;en_US
dc.format.extentDescription based upon print version of record ;en_US
dc.format.extent8.1 Introduction ;en_US
dc.publisherPalgrave Macmillan,en_US
dc.relation.ispartofseriesApplied quantitative finance ;en_US
dc.relation.ispartofseriesApplied quantitative finance ;en_US
dc.relation.haspart9783319609737.pdfen_US
dc.subjectCredit ;en_US
dc.titleCredit correlation :en_US
dc.title.alternativetheory and practice /en_US
dc.typeBooken_US
dc.publisher.placeCham, Switzerland :en_US
dc.classification.lcHG3701 ;en_US
Appears in Collections:مدیریت مالی گرایش بانکداری

Files in This Item:
File Description SizeFormat 
9783319609737.pdf7.66 MBAdobe PDFThumbnail
Preview File