Giulio Carlone

Introduction to Credit Risk (eBook, ePUB)

• Format: ePub

Produktbeschreibung

This book focuses on analysis of credit risk, derivatives, equity investments, portfolio management, quantitative methods, and risk management. In terms of application, this book can be used as an important tool to explain how to generate data rows of expected exposure to counterparty credit risk.

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Produktdetails

• Verlag: Taylor & Francis
• Seitenzahl: 488
• Erscheinungstermin: 9. November 2020
• Englisch
• ISBN-13: 9781000171471
• Artikelnr.: 60352031

Autorenporträt

Giulio Carlone has an MBA, a PhD, and a Master's in Computer Science from the University of Italy. He is a member of the software system engineering staff of the Department of Computer Science at University College London. He has 20 years of practical experience in technical software engineering and quantitative finance engineering in the commercial sector.

His research interests include the use of communication strategies and the implementation of plans and projects using financial software for requirement specifications, requirements analysis, and architectural design.

Inhaltsangabe

1. Background of credit risk and Java visualization for expected exposure.
2. Theoretical phase of a real-world case study. 3. Real-world case of the
practical phase for generating exposure regulatory measures in a specific
bank with an internal model method. 4. Theoretical approach of the
real-world case phase related to the methodology of scenario simulation
used for generating exposure regulatory measures. 5. Generation of a
simulation of a real-world case for generating exposures regulatory
measures. 6. Compute exposure by counterparty. 7 First quantitative
analysis of portfolio exposure profiles. 8. Further analysis on portfolio
exposure profiles using zero rate vector 0.03. 9. Further analysis on
portfolio exposure profiles with zero rate vector 0.06. 10. Generalization
of analysis on portfolio exposure profiles with zero rate vectors 0.01,
0.03, and 0.06. 11. Risk perspective of credit valuation adjustment. 12.
Further work. 13. Matlab source code strategy further analysis of
generation of time step. 14. Expected exposure visualization list of Java
Code Packages. 15. Expected exposure visualization list of UML diagram. 16
Credit Models using Google Cloud.