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Semi Markov Migration Models For Credit Risk


Semi Markov Migration Models For Credit Risk
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Semi Markov Migration Models For Credit Risk


Semi Markov Migration Models For Credit Risk
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Author : Guglielmo D'Amico
language : en
Publisher: John Wiley & Sons
Release Date : 2017-06-26

Semi Markov Migration Models For Credit Risk written by Guglielmo D'Amico and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-06-26 with Mathematics categories.


Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation. This book presents a complete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers. This approach provides a good method of evaluating the default risk and the classical VaR indicators used for Solvency II and Basel III governance rules. This book is the first to present a complete semi-Markov treatment of credit risk while also insisting on the practical use of the models presented here, including numerical aspects, so that this book is not only useful for scientific research but also to managers working in this field for banks, insurance companies, pension funds and other financial institutions.



Statistical Topics And Stochastic Models For Dependent Data With Applications


Statistical Topics And Stochastic Models For Dependent Data With Applications
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Author : Vlad Stefan Barbu
language : en
Publisher: John Wiley & Sons
Release Date : 2020-10-09

Statistical Topics And Stochastic Models For Dependent Data With Applications written by Vlad Stefan Barbu and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-10-09 with Mathematics categories.


This book is a collective volume authored by leading scientists in the field of stochastic modelling, associated statistical topics and corresponding applications. The main classes of stochastic processes for dependent data investigated throughout this book are Markov, semi-Markov, autoregressive and piecewise deterministic Markov models. The material is divided into three parts corresponding to: (i) Markov and semi-Markov processes, (ii) autoregressive processes and (iii) techniques based on divergence measures and entropies. A special attention is payed to applications in reliability, survival analysis and related fields.



First Hitting Time Regression Models


First Hitting Time Regression Models
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Author : Chrysseis Caroni
language : en
Publisher: John Wiley & Sons
Release Date : 2017-07-17

First Hitting Time Regression Models written by Chrysseis Caroni and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-07-17 with Mathematics categories.


This book aims to promote regression methods for analyzing lifetime (or time-to-event) data that are based on a representation of the underlying process, and are therefore likely to offer greater scientific insight compared to purely empirical methods. In contrast to the rich statistical literature, the regression methods actually employed in lifetime data analysis are limited, particularly in the biomedical field where D. R. Cox’s famous semi-parametric proportional hazards model predominates. Practitioners should become familiar with more flexible models. The first hitting time regression models (or threshold regression) presented here represent observed events as the outcome of an underlying stochastic process. One example is death occurring when the patient’s health status falls to zero, but the idea has wide applicability – in biology, engineering, banking and finance, and elsewhere. The central topic is the model based on an underlying Wiener process, leading to lifetimes following the inverse Gaussian distribution. Introducing time-varying covariates and many other extensions are considered. Various applications are presented in detail.



Mathematical Modeling Of Random And Deterministic Phenomena


Mathematical Modeling Of Random And Deterministic Phenomena
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Author : Solym Mawaki Manou-Abi
language : en
Publisher: John Wiley & Sons
Release Date : 2020-02-19

Mathematical Modeling Of Random And Deterministic Phenomena written by Solym Mawaki Manou-Abi and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-02-19 with Mathematics categories.


This book highlights mathematical research interests that appear in real life, such as the study and modeling of random and deterministic phenomena. As such, it provides current research in mathematics, with applications in biological and environmental sciences, ecology, epidemiology and social perspectives. The chapters can be read independently of each other, with dedicated references specific to each chapter. The book is organized in two main parts. The first is devoted to some advanced mathematical problems regarding epidemic models; predictions of biomass; space-time modeling of extreme rainfall; modeling with the piecewise deterministic Markov process; optimal control problems; evolution equations in a periodic environment; and the analysis of the heat equation. The second is devoted to a modelization with interdisciplinarity in ecological, socio-economic, epistemological, demographic and social problems. Mathematical Modeling of Random and Deterministic Phenomena is aimed at expert readers, young researchers, plus graduate and advanced undergraduate students who are interested in probability, statistics, modeling and mathematical analysis.



Generalized Linear Models


Generalized Linear Models
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Author : Jean-Francois Dupuy
language : en
Publisher: John Wiley & Sons
Release Date : 2025-07-29

Generalized Linear Models written by Jean-Francois Dupuy and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-07-29 with Computers categories.


Since they were first formulated in 1972, generalized linear models have enjoyed a veritable boom, with numerous applications in insurance, economics and biostatistics. Today, they are still the subject of a great deal of research. This book provides an overview of the theory of generalized linear models. Particular attention is paid to the problems of censoring, missing data and excess zeros. Didactic and accessible, Generalized Linear Models is illustrated with exercises and numerous R codes. With all the necessary prerequisites introduced in a step-by-step fashion, this book is aimed at students (at master's or engineering school level), as well as teachers and practitioners of mathematics and statistical modeling.



Machine Learning For Asset Management


Machine Learning For Asset Management
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Author : Emmanuel Jurczenko
language : en
Publisher: John Wiley & Sons
Release Date : 2020-07-16

Machine Learning For Asset Management written by Emmanuel Jurczenko and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-07-16 with Business & Economics categories.


This new edited volume consists of a collection of original articles written by leading financial economists and industry experts in the area of machine learning for asset management. The chapters introduce the reader to some of the latest research developments in the area of equity, multi-asset and factor investing. Each chapter deals with new methods for return and risk forecasting, stock selection, portfolio construction, performance attribution and transaction costs modeling. This volume will be of great help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge of machine learning in asset management.



Distributions


Distributions
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Author : Jacques Simon
language : en
Publisher: John Wiley & Sons
Release Date : 2022-09-21

Distributions written by Jacques Simon and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-09-21 with Mathematics categories.


This book presents a simple and original theory of distributions, both real and vector, adapted to the study of partial differential equations. It deals with value distributions in a Neumann space, that is, in which any Cauchy suite converges, which encompasses the Banach and Fréchet spaces and the same “weak” spaces. Alongside the usual operations – derivation, product, variable change, variable separation, restriction, extension and regularization – Distributions presents a new operation: weighting. This operation produces properties similar to those of convolution for distributions defined in any open space. Emphasis is placed on the extraction of convergent sub-sequences, the existence and study of primitives and the representation by gradient or by derivatives of continuous functions. Constructive methods are used to make these tools accessible to students and engineers.



Introduction To Matrix Analytic Methods In Queues 2


Introduction To Matrix Analytic Methods In Queues 2
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Author : Srinivas R. Chakravarthy
language : en
Publisher: John Wiley & Sons
Release Date : 2022-09-21

Introduction To Matrix Analytic Methods In Queues 2 written by Srinivas R. Chakravarthy and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-09-21 with Mathematics categories.


Matrix-analytic methods (MAM) were introduced by Professor Marcel Neuts and have been applied to a variety of stochastic models since. In order to provide a clear and deep understanding of MAM while showing their power, this book presents MAM concepts and explains the results using a number of worked-out examples. This book's approach will inform and kindle the interest of researchers attracted to this fertile field. To allow readers to practice and gain experience in the algorithmic and computational procedures of MAM, Introduction to Matrix-Analytic Methods in Queues 2 provides a number of computational exercises. It also incorporates simulation as another tool for studying complex stochastic models, especially when the state space of the underlying stochastic models under analytic study grows exponentially. This book's detailed approach will make it more accessible for readers interested in learning about MAM in stochastic models.



Mathematical Finance


Mathematical Finance
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Author : Jacques Janssen
language : en
Publisher: John Wiley & Sons
Release Date : 2013-03-07

Mathematical Finance written by Jacques Janssen and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-07 with Mathematics categories.


This book provides a detailed study of Financial Mathematics. In addition to the extraordinary depth the book provides, it offers a study of the axiomatic approach that is ideally suited for analyzing financial problems. This book is addressed to MBA's, Financial Engineers, Applied Mathematicians, Banks, Insurance Companies, and Students of Business School, of Economics, of Applied Mathematics, of Financial Engineering, Banks, and more.



Structural Equation Modeling With Lavaan


Structural Equation Modeling With Lavaan
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Author : Kamel Gana
language : en
Publisher: John Wiley & Sons
Release Date : 2019-01-03

Structural Equation Modeling With Lavaan written by Kamel Gana and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-01-03 with Mathematics categories.


This book presents an introduction to structural equation modeling (SEM) and facilitates the access of students and researchers in various scientific fields to this powerful statistical tool. It offers a didactic initiation to SEM as well as to the open-source software, lavaan, and the rich and comprehensive technical features it offers. Structural Equation Modeling with lavaan thus helps the reader to gain autonomy in the use of SEM to test path models and dyadic models, perform confirmatory factor analyses and estimate more complex models such as general structural models with latent variables and latent growth models. SEM is approached both from the point of view of its process (i.e. the different stages of its use) and from the point of view of its product (i.e. the results it generates and their reading).