Optimal control of credit risk:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Boston, Mass. [u.a.]
Kluwer Academic Publishers
2001
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| Series: | Advances in computational management science
3 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VI, 101 S. graph. Darst. |
| ISBN: | 0792379381 |
Staff View
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Record in the Search Index
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| adam_text | Contents
Acknowledgments vii
1. INTRODUCTION 1
2. LITERATURE REVIEW 5
1. Guarantee valuation 5
2. Deposit insurance valuation 8
3. Control of guarantees 9
4. Other applications 11
3. ELEMENTS OF OPTIMAL CONTROL 15
1. Optimal deterministic control 15
2. Optimal stochastic control 18
3. Stochastic impulse control 21
4. THE MODEL 25
1. The underlying process behavior 26
2. Cost of credit risk 28
3. Cost of information 29
4. Forms of control 31
5. Solution Approaches 31
5. FULL-OBSERVATION CASE 33
1. The decision process 34
2. Single jump operator approach 36
3. QVI approach 36
6. PARTIAL OBSERVATION CASE 41
1. The decision process 41
2. QVI approach 43
7. NUMERICAL APPROACHES 49
8. SIMULATION EXPERIMENTS 55
vi OPTIMAL CONTROL OF CREDIT RISK
1. Changes in parameters 55
1.1 Impact of volatility changes 56
1.2 Impact of interest-rate changes 56
2. Changes in the cost function 57
2.1 Increase in fixed costs 58
2.2 Increase in variable costs 58
2.3 (A)Symmetric cost functions 59
2.4 Compensation between / and c 59
9. CONCLUSIONS 71
10. APPENDIX: PRACTICAL CASES 73
1. Guarantees in a private setting 73
2. Guarantees in a public setting 78
|
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| dewey-ones | 658 - General management |
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| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV036610764 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:44:08Z |
| institution | BVB |
| isbn | 0792379381 |
| language | English |
| lccn | 2001029191 |
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| physical | VI, 101 S. graph. Darst. |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | Kluwer Academic Publishers |
| record_format | marc |
| series | Advances in computational management science |
| series2 | Advances in computational management science |
| spelling | Cossin, Didier Verfasser aut Optimal control of credit risk by Didier Cossin and Felipe M. Aparicio Boston, Mass. [u.a.] Kluwer Academic Publishers 2001 VI, 101 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Advances in computational management science 3 Mathematisches Modell Credit / Management / Mathematical models Risk management / Mathematical models Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 s Risikomanagement (DE-588)4121590-4 s b DE-604 Aparicio, Felipe M. Verfasser aut Advances in computational management science 3 (DE-604)BV012138998 3 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020531030&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Cossin, Didier Aparicio, Felipe M. Optimal control of credit risk Advances in computational management science Mathematisches Modell Credit / Management / Mathematical models Risk management / Mathematical models Kreditrisiko (DE-588)4114309-7 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4114309-7 (DE-588)4121590-4 |
| title | Optimal control of credit risk |
| title_auth | Optimal control of credit risk |
| title_exact_search | Optimal control of credit risk |
| title_full | Optimal control of credit risk by Didier Cossin and Felipe M. Aparicio |
| title_fullStr | Optimal control of credit risk by Didier Cossin and Felipe M. Aparicio |
| title_full_unstemmed | Optimal control of credit risk by Didier Cossin and Felipe M. Aparicio |
| title_short | Optimal control of credit risk |
| title_sort | optimal control of credit risk |
| topic | Mathematisches Modell Credit / Management / Mathematical models Risk management / Mathematical models Kreditrisiko (DE-588)4114309-7 gnd Risikomanagement (DE-588)4121590-4 gnd |
| topic_facet | Mathematisches Modell Credit / Management / Mathematical models Risk management / Mathematical models Kreditrisiko Risikomanagement |
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