Credit Rating Migration Risks in Structure Models

Liang, Jin, Hu, Bei

Credit Rating Migration Risks in Structure Models
  • 出版商: Springer
  • 出版日期: 2024-07-05
  • 售價: $5,390
  • 貴賓價: 9.5 折 $5,121
  • 語言: 英文
  • 頁數: 277
  • 裝訂: Hardcover - also called cloth, retail trade, or trade
  • ISBN: 9819721784
  • ISBN-13: 9789819721788

    • 海外代購書籍(需單獨結帳)

相關主題

商品描述

The book provides the latest research results on measuring Credit Rating Migration by mathematical methods. It brings about most popular mathematical models, methods and applications on this area, especially presents the latest development on structure models. It is systematically collects the models, methods and results in this area.

The book first introduced the financial background and preliminary mathematical theory. Then two mainstream mathematical models for measuring default risks, the reduced form model and structure model, are presented. The structure model for measuring credit rating migration risks is the main part of the book and authors prove the existence, uniqueness, regularities, asymptotic behavior, traveling wave and other properties of the solutions of the model. The structural credit rating migration model is also extended to more general case, such as stochastic interest rate, multiple ratings, region switch and so on. Some credit derivatives, and numerical analysis, parameter calibration and estimate of the migration boundary of the models are given in the last two chapters.

The book focuses on theoretical financial investigators, especially financial mathematical researchers and students. The book is involved various mathematical models, such as PDE, numerical simulation etc., some of them are interesting mathematical problems, so that, and a good reference book to study mathematical modeling in credit rating migration. It might also be used as a textbook for students in financial credit risks.

商品描述(中文翻譯)

這本書提供了關於使用數學方法測量信用評級遷移的最新研究成果。它介紹了最受歡迎的數學模型、方法和應用，特別是最新的結構模型發展。該書系統地收集了這個領域的模型、方法和結果。

該書首先介紹了金融背景和初步的數學理論。然後介紹了兩種主流的測量違約風險的數學模型，即降低形式模型和結構模型。結構模型用於測量信用評級遷移風險，是該書的主要部分，作者證明了該模型解的存在性、唯一性、規律性、漸近行為、行波等性質。結構性信用評級遷移模型還擴展到更一般的情況，例如隨機利率、多個評級、區域切換等。最後兩章介紹了一些信用衍生品、數值分析、參數校準和模型遷移邊界的估計。

該書專注於理論金融研究人員，特別是金融數學研究人員和學生。該書涉及各種數學模型，如偏微分方程、數值模擬等，其中一些是有趣的數學問題，因此是學習信用評級遷移數學建模的良好參考書。它也可以作為金融信用風險學生的教材使用。

作者簡介

Jin Liang, PhD of Applied Mathematics from Peking University, Professor in School of Mathematical Science, Tongji University. Her research interests focus on applications of PDE, especially on financial mathematics. She published more than 100 academic papers, including pricing financial derivatives, measuring credit risks, financial calculations, carbon reduction controlings etc. She is also a well-known popular science writer in China.

Bei Hu, Professor in University of Notre Dame, Department of Applied and Computational Mathematics and Statistics, is an expert in PDE and its applications. He published over 100 papers in a variety of aspects of PDE applications including Blowup Theory, Mathematical Biology, and Mathematical finance. In the past at the University of Notre Dame, he served as a department chair in the Department of Mathematics, department chair in the Department of Applied and Computational Mathematics and Statistics, Associate Dean in the College of Science. He also serves on the editorial board of several journals.


作者簡介(中文翻譯)

金亮，北京大學應用數學博士，同濟大學數學科學學院教授。她的研究興趣主要集中在偏微分方程的應用，尤其是金融數學方面。她發表了100多篇學術論文，包括金融衍生品定價、信用風險評估、金融計算、碳減排控制等。她也是中國知名的科普作家。

胡北，聖母大學應用和計算數學統計學系教授，是偏微分方程及其應用方面的專家。他在偏微分方程應用的各個方面發表了100多篇論文，包括爆破理論、數學生物學和金融數學等。在聖母大學的過去，他曾擔任數學系系主任、應用和計算數學統計學系系主任、理學院副院長等職務。他還擔任多個期刊的編輯委員會成員。

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