Systematic risk factors redefined
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20140003235 | ||
| 003 | MAP | ||
| 005 | 20140128111309.0 | ||
| 008 | 140127e20131104esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20100023310$aGatarek, Dariusz | ||
| 245 | 0 | 0 | $aSystematic risk factors redefined$cDariusz Gatarek, Juliusz Jablecki |
| 520 | $aCredit risk factor models tend to have a narrow focus on the Gaussian case, use copula functions that don't work well with the martingale methods used in pricing, and can introduce arbitrage. Dariusz Gatarek and Juliusz Jablecki show how an increasing sequence of default times can be used to create systematic factors that allow for a rich correlation structure - and keep strong links with pricing | ||
| 650 | 4 | $0MAPA20080592042$aModelos matemáticos | |
| 650 | 4 | $0MAPA20090035034$aModelización mediante cópulas | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20080576790$aModelo Gaussiano | |
| 650 | 4 | $0MAPA20080592578$aPolítica de precios | |
| 650 | 4 | $0MAPA20080582401$aRiesgo crediticio | |
| 650 | 4 | $0MAPA20080585266$aFactores de riesgo | |
| 700 | 1 | $0MAPA20140001187$aJablecki, Juliusz | |
| 773 | 0 | $wMAP20077002387$tRisk : risk management, derivatives, structured products$dSouthwick, West Sussex : Incisive Financial Publishing, 2007-$x0952-8776$g04/11/2013 Tomo 26 Número 11 - 2013 , p. 62-64 |