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

By Jiří Witzany

This publication introduces to uncomplicated and complicated tools for credits threat administration. It covers classical debt tools and smooth monetary markets items. the writer describes not just regular ranking and scoring equipment like type timber or Logistic Regression, but additionally much less recognized types which are topic of ongoing learn, like e.g. aid Vector Machines, Neural Networks, or Fuzzy Inference platforms. The e-book additionally illustrates monetary and commodity markets and analyzes the rules of complex credits probability modeling concepts and credits derivatives pricing tools. specific cognizance is given to the demanding situations of counterparty chance administration, credits Valuation Adjustment (CVA) and the comparable regulatory Basel III requirements.  As a end, the e-book offers the reader with the entire crucial points 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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