{"product_id":"optimal-control-of-credit-risk-hardcover","title":"Optimal Control of Credit Risk - Hardcover","description":"\u003cdiv\u003e\u003cp style=\"text-align: right;\"\u003e\u003ca href=\"https:\/\/reportcopyrightinfringement.com\/\" target=\"_blank\" rel=\"nofollow\"\u003e\u003cb\u003eReport copyright infringement\u003c\/b\u003e\u003c\/a\u003e\u003c\/p\u003e\u003c\/div\u003e\u003cp\u003eby \u003cb\u003eDidier Cossin\u003c\/b\u003e (Author), \u003cb\u003eFelipe M. Aparicio Acosta\u003c\/b\u003e (Author)\u003c\/p\u003e\u003cp\u003e\u003cem\u003eOptimal Control of Credit Risk\u003c\/em\u003e presents an alternative methodology to deal with a financial problem that has not been well analyzed yet: the control of credit risk. Credit risk has become recently the center of interest of the financial community, with new instruments (such as Credit Risk Derivatives) and new methodologies (such as Credit Metrics) being developed. The recent literature has focused on the pricing of credit risk. On the other hand, practitioners tend to eliminate credit risk rather than price it. They do so via collateralization. The authors propose here a methodological basis for an optimal collateralization.\u003cbr\u003e The monograph is organized as follows: Chapter 1 reviews the main avenues of literature related to our problem; Chapter 2 provides a brief overview of the main optimal control principles; and Chapter 3 presents the models and their setting.\u003cbr\u003e In the remaining chapters, the authors propose two sets of programs. One set of programs will apply in cases where the information on the assets=value is readily available (\u003cem\u003efull observation\u003c\/em\u003e case), while the other applies when costly audits are needed in order to assess this value (\u003cem\u003epartial observation\u003c\/em\u003e case).\u003cbr\u003e In either case, the modeling stage leads to a set of \u003cem\u003equasi-variational\u003c\/em\u003e \u003cem\u003einequalities\u003c\/em\u003e which the authors attempt to solve numerically in the simpler case of full observations. This is done in Chapter 6. Finally a simulation analysis is carried out in Chapter 7, in which the authors study the influence on the control process of changes in the different model parameters. This precedes a discussion on possible extensions in Chapter 8 and some concluding remarks in Section 9.\u003c\/p\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003eNumber of Pages:\u003c\/strong\u003e 102\u003c\/div\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003eDimensions:\u003c\/strong\u003e 0.52 x 9.78 x 6.5 IN\u003c\/div\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003eIllustrated:\u003c\/strong\u003e Yes\u003c\/div\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003ePublication Date:\u003c\/strong\u003e April 30, 2001\u003c\/div\u003e\n            ","brand":"BooksCloud","offers":[{"title":"Default Title","offer_id":48757404434681,"sku":"9780792379386","price":178.18,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0789\/2782\/3097\/files\/uCG1V_NQGN9780792379386.webp?v=1785946471","url":"https:\/\/bookscloud.io\/products\/optimal-control-of-credit-risk-hardcover","provider":"BooksCloud Book Dropshipping","version":"1.0","type":"link"}