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Valuation Des Risques

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Credit Spread Option Valuation Under Garch

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Author : Tahani, Nabil
language : en
Publisher: Montréal : École des hautes études commerciales, Chaire de gestion des risques
Release Date : 2000

Credit Spread Option Valuation Under Garch written by Tahani, Nabil and has been published by Montréal : École des hautes études commerciales, Chaire de gestion des risques this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.

Valuation De Projets Publics

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Author : Marcel Boyer
language : en
Publisher:
Release Date : 2013

Valuation De Projets Publics written by Marcel Boyer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

On entend souvent des aff ...

Valuation And Control Of Risk For Italian Life Policies Of Gestione Separata Type In The Solvency Ii Framework The Case Of Credit Risk

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Author : Stéphane Dang-Nguyen
language : fr
Publisher:
Release Date : 2014

Valuation And Control Of Risk For Italian Life Policies Of Gestione Separata Type In The Solvency Ii Framework The Case Of Credit Risk written by Stéphane Dang-Nguyen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.

Le sujet de cette thèse est l'analyse du risque de crédit, dans le cadre de la directive Solvency II, appliquée à un type de polices d'assurance vie italien. Leur caractéristique principale consiste à indexer les prestations et primes au rendement d'un ensemble d'actifs appartenant au bilan de l'entreprise, dénommé gestione separata. De plus, ces actifs sont évalués avec une approche comptable. Ce manuscrit est organisé en quatre parties afin de combiner trois composantes. Premièrement la directive et la formalisation de ces polices sont présentés afin de comprendre le cadre de la valorisation et de l'évaluation des risques associés. Deuxièmement, le risque de taux est introduit puisqu'il joue un rôle important dans le calcul du prix de tout contrat financier. La modélisation de ce risque de marché s'effectue avec des processus affines et l'estimation des paramètres est décrite. Troisièmement, le risque de crédit avec des modèles à forme réduite est présenté. Ce risque est décrit au travers d'un processus affine qui représente le spread de crédit et est également affine. Ainsi le cadre mathématique est identique au risque de taux. Enfin des évaluations, dans le cadre de la directive, basé sur un portefeuille stylisé d'actifs et de polices sont effectuées. Le logiciel Dynamic Investment Strategy with Accounting Rules est utilisé donc des choix de modélisation additionels sont présentés.

British Standard Evaluation Of Medical Devices For Biological Hazards

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Author :
language : en
Publisher:
Release Date :

British Standard Evaluation Of Medical Devices For Biological Hazards written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.

Risk Management And Value Valuation And Asset Pricing

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Author : Mondher Bellalah
language : en
Publisher: World Scientific
Release Date : 2008-02-28

Risk Management And Value Valuation And Asset Pricing written by Mondher Bellalah and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-02-28 with Business & Economics categories.

This book provides a comprehensive discussion of the issues related to risk, volatility, value and risk management. It includes a selection of the best papers presented at the Fourth International Finance Conference 2007, qualified by Professor James Heckman, the 2000 Nobel Prize Laureate in Economics, as a “high level” one. The first half of the book examines ways to manage risk and compute value-at-risk for exchange risk associated to debt portfolios and portfolios of equity. It also covers the Basel II framework implementation and securitisation. The effects of volatility and risk on the valuation of financial assets are further studied in detail.The second half of the book is dedicated to the banking industry, banking competition on the credit market, banking risk and distress, market valuation, managerial risk taking, and value in the ICT activity. With its inclusion of new concepts and recent literature, academics and risk managers will want to read this book.