Authors:Stefan Trueck, Svetlozar T. Rachev,
Publisher: Academic Pre
Keywords: academic, matrices, press, advanced, finance, migration, application, modeling, based, credit, risk, theory, rating
Number of Pages: 280
Published: 2008-12-22
List price: $79.95
ISBN-10: 0123736838
ISBN-13: 9780123736833

In the last decade rating-based models have become very popular in credit risk management. These systems use the rating of a company as the decisive variable to evaluate the default risk of a bond or loan. The popularity is due to the straightforwardness of the approach, and to the upcoming new capital accord (Basel II), which allows banks to base their capital requirements on internal as well as external rating systems. Because of this, sophisticated credit risk models are being developed or demanded by banks to assess the risk of their credit portfolio better by recognizing the different und

Authors:Svetlozar T. Rachev, Ludger Ruschendorf,
Publisher: Springer
Keywords: applications, probability, volume, problems, transportation, mass
Number of Pages: 430
Published: 1998-03-24
List price: $124.00
ISBN-10: 038798352X
ISBN-13: 9780387983523

This is the first comprehensive account of the theory of mass transportation problems and its applications. In volume I, the authors systematically develop the theory of mass transportation with emphasis to the Monge-Kantorovich mass transportation and the Kantorovich-Rubinstein mass transshipment problems, and their various extensions. They discuss a variety of different approaches towards solutions of these problems and exploit the rich interrelations to several mathematical sciences--from functional analysis to probability theory and mathematical economics. The second volume is devoted to a

Authors:Svetlozar T. Rachev, Ludger Ruschendorf,
Publisher: Springer
Keywords: probability, applications, theory, volume, transportation, problems, mass
Number of Pages: 540
Published: 1998-03-24
List price: $134.00
ISBN-10: 0387983503
ISBN-13: 9780387983509

This is the first comprehensive account of the theory of mass transportation problems and its applications. In Volume I, the authors systematically develop the theory of mass transportation with emphasis to the Monge-Kantorovich mass transportation and the Kantorovich- Rubinstein mass transshipment problems, and their various extensions. They discuss a variety of different approaches towards solutions of these problems and exploit the rich interrelations to several mathematical sciences--from functional analysis to probability theory and mathematical economics. The second volume is devoted to

Authors:Svetlozar T. Rachev, Stefan, PhD Mittnik, Frank J. F
Publisher: Wiley
Keywords: frank, fabozzi, series, techniques, modeling, econometrics, basics, advanced, financial
Number of Pages: 576
Published: 2006-12-11
List price: $95.00
ISBN-10: 0471784508
ISBN-13: 9780471784500

A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains t

Authors:Svetlozar T. Rachev, John S. J. Hsu, Biliana S. Baga
Publisher: Wiley
Keywords: fabozzi, series, frank, finance, methods, bayesian
Number of Pages: 329
Published: 2008-02-08
List price: $95.00
ISBN-10: 0471920835
ISBN-13: 9780471920830

Bayesian Methods in Finance provides a detailed overview of the theory of Bayesian methods and explains their real-world applications to financial modeling. While the principles and concepts explained throughout the book can be used in financial modeling and decision making in general, the authors focus on portfolio management and market risk management—since these are the areas in finance where Bayesian methods have had the greatest penetration to date.

Authors:Georg Bol, Svetlozar T. Rachev, Reinhold Wuerth,
Publisher: Physica-Verlag Heidelberg
Keywords: contributions, economics, finance, banking, assessment, decisions, risk
Number of Pages: 286
Published: 2008-12-05
List price: $109.00
ISBN-10: 3790820490
ISBN-13: 9783790820492

New developments in assessing and managing risk are discussed in this volume. Addressing both practitioners in the banking sector and research institutions, the book provides a manifold view on the most-discussed topics in finance. Among the subjects treated are important issues such as: risk measures and allocation of risks, factor modeling, risk premia in the hedge funds industry and credit risk management. The volume provides an overview of recent developments as well as future trends in the area of risk assessment.

Authors:Svetlozar T. Rachev, Stoyan V. Stoyanov, Frank J. Fa
Publisher: Wiley
Keywords: risk, measures, performance, frank, uncertainty, fabozzi, series, optimization, models, stochastic, assessment, portfolio, advanced, ideal
Number of Pages: 382
Published: 2008-02-25
List price: $95.00
ISBN-10: 047005316X
ISBN-13: 9780470053164

This groundbreaking book extends traditional approaches of risk measurement and portfolio optimization by combining distributional models with risk or performance measures into one framework. Throughout these pages, the expert authors explain the fundamentals of probability metrics, outline new approaches to portfolio optimization, and discuss a variety of essential risk measures. Using numerous examples, they illustrate a range of applications to optimal portfolio choice and risk theory, as well as applications to the area of computational finance that may be useful to financial engineers.