| 000 | 02699nam a22004218i 4500 | ||
|---|---|---|---|
| 001 | CR9781107709393 | ||
| 005 | 20250919142047.0 | ||
| 006 | m|||||o||d|||||||| | ||
| 007 | cr|||||||||||| | ||
| 008 | 141103s2014||||enk o ||1 0|eng|d | ||
| 020 | _a9781107709393 (ebook) | ||
| 020 | _z9781107070837 (hardback) | ||
| 020 | _z9781107662889 (paperback) | ||
| 040 |
_aUkCbUP _beng _erda _cUkCbUP |
||
| 050 | 0 | 0 |
_aHG106 _b.G34 2014 |
| 082 | 0 | 0 |
_a332.01/51 _223 |
| 100 | 1 |
_aGagliardini, Patrick, _d1974- _eauthor. |
|
| 245 | 1 | 0 |
_aGranularity theory with applications to finance and insurance / _cPatrick Gagliardini, Universita della Svizzera Italiana, Switzerland, Christian Gourieroux, CREST (Paris) and University of Toronto. |
| 246 | 3 | _aGranularity Theory with Applications to Finance & Insurance | |
| 264 | 1 |
_aCambridge : _bCambridge University Press, _c2014. |
|
| 300 |
_a1 online resource (xvi, 186 pages) : _bdigital, PDF file(s). |
||
| 336 |
_atext _btxt _2rdacontent |
||
| 337 |
_acomputer _bc _2rdamedia |
||
| 338 |
_aonline resource _bcr _2rdacarrier |
||
| 490 | 1 | _aThemes in modern econometrics | |
| 500 | _aTitle from publisher's bibliographic system (viewed on 05 Oct 2015). | ||
| 520 | _aThe recent financial crisis has heightened the need for appropriate methodologies for managing and monitoring complex risks in financial markets. The measurement, management, and regulation of risks in portfolios composed of credits, credit derivatives, or life insurance contracts is difficult because of the nonlinearities of risk models, dependencies between individual risks, and the several thousands of contracts in large portfolios. The granularity principle was introduced in the Basel regulations for credit risk to solve these difficulties in computing capital reserves. In this book, authors Patrick Gagliardini and Christian Gouriéroux provide the first comprehensive overview of the granularity theory and illustrate its usefulness for a variety of problems related to risk analysis, statistical estimation, and derivative pricing in finance and insurance. They show how the granularity principle leads to analytical formulas for risk analysis that are simple to implement and accurate even when the portfolio size is large. | ||
| 650 | 0 |
_aFinance _xMathematical models. |
|
| 650 | 0 |
_aInsurance _xMathematical models. |
|
| 700 | 1 |
_aGourieroux, Christian, _d1949- _eauthor. |
|
| 776 | 0 | 8 |
_iPrint version: _z9781107070837 |
| 830 | 0 | _aThemes in modern econometrics. | |
| 856 | 4 | 0 | _uhttps://doi.org/10.1017/CBO9781107709393 |
| 907 |
_a.b16846448 _b2020-12-22 _c2020-12-22 |
||
| 942 | _n0 | ||
| 998 |
_a1 _b2020-12-22 _cm _da _feng _genk _y0 _z.b16846448 |
||
| 999 |
_c651987 _d651987 |
||