株式会社極東書店トップ ＞ 商品一覧 ＞ Granularity Theory with Applications to Finance and Insurance.
商品詳細
Granularity Theory with Applications to Finance and Insurance. 金融と保険への応用を伴う粒度理論
・ISBN 978-1-107-07083-7 hard GB£ 100.00
￥31,680.- (税込) ※（※）価格はご注文時の参考価格となります。
納品価格につきましては書籍の入荷時点で確定となります。
版元の原価改定、外国為替の変動等により異なる場合がございますので、予めご了承下さい。
お気に入り
★★★
・ISBN 978-1-107-66288-9 paper GB£ 29.00
￥9,187.- (税込) ※（※）価格はご注文時の参考価格となります。
納品価格につきましては書籍の入荷時点で確定となります。
版元の原価改定、外国為替の変動等により異なる場合がございますので、予めご了承下さい。
お気に入り
★★★
電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-1-107-70939-3
| 著者・編者 | Gagliardini, Patrick / Gourieroux, C., |
|---|---|
| シリーズ | Themes in Modern Econometrics |
| 出版社 | (Cambridge U. Pr., US) |
| 出版年月 | 2014 |
| ページ数 | 186 pp. |
| 言語 | ENG |
| ニュース番号 | ＜614-443 614-L223＞ |
解説
The recent financial crisis has heightened the need for appropriate methodologies for managing and monitoring complex risks in financial markets. The measurement, management, and regulation of risks in portfolios composed of credits, credit derivatives, or life insurance contracts is difficult because of the nonlinearities of risk models, dependencies between individual risks, and the several thousands of contracts in large portfolios. The granularity principle was introduced in the Basel regulations for credit risk to solve these difficulties in computing capital reserves. In this book, authors Patrick Gagliardini and Christian Gourieroux provide the first comprehensive overview of the granularity theory and illustrate its usefulness for a variety of problems related to risk analysis, statistical estimation, and derivative pricing in finance and insurance. They show how the granularity principle leads to analytical formulas for risk analysis that are simple to implement and accurate even when the portfolio size is large.