New PDF release: Credit Risk Management: Pricing, Measurement, and Modeling

By Jiří Witzany

This e-book introduces to uncomplicated and complicated equipment for credits hazard administration. It covers classical debt tools and smooth monetary markets items. the writer describes not just normal ranking and scoring equipment like type bushes or Logistic Regression, but in addition much less recognized versions which are topic of ongoing learn, like e.g. aid Vector Machines, Neural Networks, or Fuzzy Inference structures. The publication additionally illustrates monetary and commodity markets and analyzes the rules of complicated credits danger modeling strategies and credits derivatives pricing tools. specific cognizance is given to the demanding situations of counterparty danger administration, credits Valuation Adjustment (CVA) and the similar regulatory Basel III requirements.  As a end, the e-book presents the reader with the entire crucial elements of classical and glossy credits possibility administration and modeling.

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Credit Risk Management: Pricing, Measurement, and Modeling by Jiří Witzany


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