{"product_id":"9781461355311","title":"Optimal Control of Credit Risk","description":"\u003ch1\u003eOptimal Control of Credit Risk\u003c\/h1\u003e \u003ch2\u003eCossin, Didier; Aparicio Acosta, Felipe M.\u003c\/h2\u003e \u003cp\u003e\u003cem\u003eOptimal Control of Credit Risk\u003c\/em\u003e presents an alternative  methodology to deal with a financial problem that has not been well  analyzed yet: the control of credit risk. Credit risk has become  recently the center of interest of the financial community, with new  instruments (such as Credit Risk Derivatives) and new methodologies  (such as Credit Metrics) being developed. The recent literature has  focused on the pricing of credit risk. On the other hand,  practitioners tend to eliminate credit risk rather than price it. They  do so via collateralization. The authors propose here a methodological  basis for an optimal collateralization.\u003cbr\u003e  The monograph is organized as follows: Chapter 1 reviews the main  avenues of literature related to our problem; Chapter 2 provides a  brief overview of the main optimal control principles; and Chapter 3  presents the models and their setting.\u003cbr\u003e  In the remaining chapters, the authors propose two sets of programs.  One set of programs will apply in cases where the information on the  assets=value is readily available (\u003cem\u003efull observation\u003c\/em\u003e case), while  the other applies when costly audits are needed in order to assess  this value (\u003cem\u003epartial observation\u003c\/em\u003e case).\u003cbr\u003e  In either case, the modeling stage leads to a set of  \u003cem\u003equasi-variational\u003c\/em\u003e \u003cem\u003einequalities\u003c\/em\u003e which the authors attempt  to solve numerically in the simpler case of full observations. This is  done in Chapter 6. Finally a simulation analysis is carried out in  Chapter 7, in which the authors study the influence on the control  process of changes in the different model parameters. This precedes a  discussion on possible extensions in Chapter 8 and some concluding  remarks in Section 9.\u003c\/p\u003e \u003ch3\u003eDetails\u003c\/h3\u003e \u003cp\u003ePublished by: Springer\u003c\/p\u003e \u003cp\u003ePublication Date: 2012-10-31\u003c\/p\u003e \u003cp\u003eFormat: Paperback\u003c\/p\u003e \u003cp\u003e ISBN-10: 9781461355311\u003c\/p\u003e \u003cp\u003eISBN-13: 9781461355311\u003c\/p\u003e \u003cp\u003eDOI: 10.1007\/978-1-4615-1393-3\u003c\/p\u003e \u003cp\u003eDimensions: 235cm x155cm\u003c\/p\u003e \u003cp\u003ePages: 102\u003c\/p\u003e ","brand":"Springer","offers":[{"title":"Default Title","offer_id":44341100642444,"sku":"9781461355311","price":99.0,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0710\/9545\/1788\/files\/9781461355311_3946eed2-a7c0-4e1f-a59c-34b01a1fcd59.jpg?v=1755057095","url":"https:\/\/fh90cf-fv.myshopify.com\/products\/9781461355311","provider":"Late Knight Books and Services, LLC","version":"1.0","type":"link"}