Search

Systematic risk factors redefined

<?xml version="1.0" encoding="UTF-8"?><modsCollection xmlns="http://www.loc.gov/mods/v3" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-8.xsd">
<mods version="3.8">
<titleInfo>
<title>Systematic risk factors redefined</title>
</titleInfo>
<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20140001187">
<namePart>Jablecki, Juliusz</namePart>
<nameIdentifier>MAPA20140001187</nameIdentifier>
</name>
<typeOfResource>text</typeOfResource>
<genre authority="marcgt">periodical</genre>
<originInfo>
<place>
<placeTerm type="code" authority="marccountry">esp</placeTerm>
</place>
<dateIssued encoding="marc">2013</dateIssued>
<issuance>serial</issuance>
</originInfo>
<language>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</language>
<physicalDescription>
<form authority="marcform">print</form>
</physicalDescription>
<abstract displayLabel="Summary">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 </abstract>
<note type="statement of responsibility">Dariusz Gatarek, Juliusz Jablecki </note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080592042">
<topic>Modelos matemáticos</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20090035034">
<topic>Modelización mediante cópulas</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080602437">
<topic>Matemática del seguro</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080576790">
<topic>Modelo Gaussiano</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080592578">
<topic>Política de precios</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080582401">
<topic>Riesgo crediticio</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080585266">
<topic>Factores de riesgo</topic>
</subject>
<classification authority="">6</classification>
<relatedItem type="host">
<titleInfo>
<title>Risk : risk management, derivatives, structured products</title>
</titleInfo>
<originInfo>
<publisher>Southwick, West Sussex : Incisive Financial Publishing, 2007-</publisher>
</originInfo>
<identifier type="issn">0952-8776</identifier>
<identifier type="local">MAP20077002387</identifier>
<part>
<text>04/11/2013 Tomo 26 Número 11 - 2013 , p. 62-64</text>
</part>
</relatedItem>
<recordInfo>
<recordContentSource authority="marcorg">MAP</recordContentSource>
<recordCreationDate encoding="marc">140127</recordCreationDate>
<recordChangeDate encoding="iso8601">20140128111309.0</recordChangeDate>
<recordIdentifier source="MAP">MAP20140003235</recordIdentifier>
<languageOfCataloging>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</languageOfCataloging>
</recordInfo>
</mods>
</modsCollection>