Optimal Control of Credit Risk
- List Price: $169.99
- Binding: Hardcover
- Publisher: Kluwer Academic Pub
- Publish date: 04/01/2001
Description:
1. Introduction.- 2. Literature Review.- 1. Guarantee valuation.- 2. Deposit insurance valuation.- 3. Control of guarantees.- 4. Other applications.- 3. Elements of Optimal Control.- 1. Optimal deterministic control.- 2. Optimal stochastic control.- 3. Stochastic impulse control.- 4. The Model.- 1. The underlying process behavior.- 2. Cost of credit risk.- 3. Cost of information.- 4. Forms of control.- 5. Solution Approaches.- 5. Full-Observation Case.- 1. The decision process.- 2. "Single jump" operator approach.- 3. QVI approach.- 6. Partial Observation Case.- 1. The decision process.- 2. QVI approach.- 7. Numerical Approaches.- 8. Simulation Experiments.- 1. Changes in parameters.- 2. Changes in the cost function.- 10. Appendix: Practical Cases.- 1. Guarantees in a private setting.- 2. Guarantees in a public setting.
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