Systematic risk factors redefined

<?xml version="1.0" encoding="UTF-8" standalone="no"?>
<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<rdf:Description>
<dc:creator>Gatarek, Dariusz</dc:creator>
<dc:creator>Jablecki, Juliusz</dc:creator>
<dc:date>2013-11-04</dc:date>
<dc:description xml:lang="es">Sumario: Credit 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 </dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/145843.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Modelos matemáticos</dc:subject>
<dc:subject xml:lang="es">Modelización mediante cópulas</dc:subject>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:subject xml:lang="es">Modelo Gaussiano</dc:subject>
<dc:subject xml:lang="es">Política de precios</dc:subject>
<dc:subject xml:lang="es">Riesgo crediticio</dc:subject>
<dc:subject xml:lang="es">Factores de riesgo</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Systematic risk factors redefined</dc:title>
<dc:relation xml:lang="es">En: Risk : risk management, derivatives, structured products. - Southwick, West Sussex : Incisive Financial Publishing, 2007- = ISSN 0952-8776. - 04/11/2013 Tomo 26 Número 11 - 2013 , p. 62-64</dc:relation>
</rdf:Description>
</rdf:RDF>