Pesquisa de referências

Systematic risk factors redefined

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20140003235</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20140128111309.0</controlfield>
    <controlfield tag="008">140127e20131104esp|||p      |0|||b|spa d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">6</subfield>
    </datafield>
    <datafield tag="100" ind1=" " ind2=" ">
      <subfield code="0">MAPA20100023310</subfield>
      <subfield code="a">Gatarek, Dariusz</subfield>
    </datafield>
    <datafield tag="245" ind1="0" ind2="0">
      <subfield code="a">Systematic risk factors redefined</subfield>
      <subfield code="c">Dariusz Gatarek, Juliusz Jablecki </subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">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 </subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080592042</subfield>
      <subfield code="a">Modelos matemáticos</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20090035034</subfield>
      <subfield code="a">Modelización mediante cópulas</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080602437</subfield>
      <subfield code="a">Matemática del seguro</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080576790</subfield>
      <subfield code="a">Modelo Gaussiano</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080592578</subfield>
      <subfield code="a">Política de precios</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080582401</subfield>
      <subfield code="a">Riesgo crediticio</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080585266</subfield>
      <subfield code="a">Factores de riesgo</subfield>
    </datafield>
    <datafield tag="700" ind1="1" ind2=" ">
      <subfield code="0">MAPA20140001187</subfield>
      <subfield code="a">Jablecki, Juliusz</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077002387</subfield>
      <subfield code="t">Risk : risk management, derivatives, structured products</subfield>
      <subfield code="d">Southwick, West Sussex : Incisive Financial Publishing, 2007-</subfield>
      <subfield code="x">0952-8776</subfield>
      <subfield code="g">04/11/2013 Tomo 26 Número 11 - 2013 , p. 62-64</subfield>
    </datafield>
  </record>
</collection>