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Status:
Available4.6
39 reviews
ISBN 10: 0367478498
ISBN 13: 9780367478490
Author: Giulio Carlone
Chapter 1 ▪ Background of Credit Risk and Java Visualization for Expected Exposure
1.1 Financial Risk
1.2 Credit Risk
1.3 Credit Risk Measure
1.4 Monte Carlo
1.5 Interest Rate Swap
1.6 Analytical Methodology
Bibliography
Chapter 2 ▪ Theoretical Phase of a Real-World Case Study
2.1 Introduction to the Theoretical Phase
2.2 Preliminary Notes
2.3 Internal Model Method and Exposure
2.4 Exposure Regulatory Measures Used
Bibliography
Chapter 3 ▪ Real-World Case of the Practical Phase for Generating Exposure Regulatory Measures in a Specific Bank with an Internal Model Method
3.1 Introduction to a Real-World Case
3.2 Calculation Tools Used
3.3 Flow to Generate Expected Positive Exposure (EPE) Value
3.4 Methodology for the Calculation of EPE
3.5 Results of the Calculation
Bibliography
Chapter 4 ▪ Theoretical Approach of the Real-World Case Phase Related to the Methodology of Scenario Simulation Used for Generating Exposure Regulatory Measures
4.1 Introduction of the Theoretical Approach
Bibliography
Chapter 5 ▪ Generation of a Simulation of a Real-World Case for Generating Exposure Regulatory Measures
5.1 Introduction to a Real-World Simulation
5.2 Interest Rate Swaps Portfolio
5.3 Choice of Observation Days Corresponding to Time Steps
5.4 Methodology of Scenario Simulation
5.5 Inspect Scenario Prices
Bibliography
Chapter 6 ▪ Compute Exposure by Counterparty
6.1 Introduction to Computation
6.2 Portfolio Exposure Profiles
6.3 Counterparty Alpha Ltd. Exposure Profile
6.4 Counterparty Beta Ltd. Exposure Profile
6.5 Counterparty Gamma Ltd. Exposure Profile
Bibliography
Chapter 7 ▪ First Quantitative Analysis of Portfolio Exposure Profiles
7.1 Introduction to the First Analysis
Bibliography
Chapter 8 ▪ Further Analysis on Portfolio Exposure Profiles Using Zero Rate Vector 0.03
8.1 Portfolio EPE, Portfolio Eff. EPE, and Portfolio MPFE Using Zero Rate Vector 0.03
8.2 Portfolio for Counterparties Alpha Ltd., Beta Ltd., and Delta Ltd.: EPE, Eff. EPE, and MPFE Profiles Using a Different Zero Rate Vector 0.03
8.3 Counterparty Alpha Ltd.: EPE, Eff. EPE, and MPFE Profiles Using Zero Rate Vector 0.03
8.4 Counterparty Beta Ltd.: EPE, Eff. EPE, and MPFE Profiles Using Zero Rate Vector 0.03
8.5 Counterparty Gamma Ltd.: EPE, Eff. EPE, and MPFE Profiles Using Zero Rate Vector 0.03
Bibliography
Chapter 9 ▪ Further Analysis of Portfolio Exposure Profiles with Zero Rate Vector 0.06
9.1 Portfolio EPE Profiles Using a Different Zero Rate Vector 0.06
9.2 Portfolio EPE, Eff. EPE, and MPFE Profiles Using Zero Rate Vector 0.06
9.3 Portfolio for Counterparty Alpha Zero Rate 0.06
9.4 Portfolio for Counterparty Beta Zero Rate 0.06
9.5 Portfolio for Counterparty Gamma Zero Rate 0.06
9.6 Portfolio EPE, Eff. EPE, and MPFE Profiles Using a Different Zero Rate Vector 0.06
Bibliography
Chapter 10 ▪ Generalization of Analysis on Portfolio Exposure Profiles with Zero Rate Vectors 0.01, 0.03, and 0.06
10.1 Analysis of Previous Generated Data
Bibliography
Chapter 11 ▪ Risk Perspective of Credit Valuation Adjustment
11.1 Definition of the Start Portfolio for Credit Valuation Adjustment
11.2 Regulatory Risk Perspective of CVA
11.3 Mathematical Risk Perspective of CVA
11.4 Further Study on CVA Using the Previous Expected Exposure Data
Bibliography
Chapter 12 ▪ Further Work
12.1 Further Work: Description and Explanation of the Project
12.2 Brief Description
12.3 Explanation of the Project
12.4 Purpose of the Research Project
12.5 Structure and Methodology of the Investigation
12.6 Reasons for Adopting Certain Methodologies Instead of Others
12.7 Emphasis on the Rigour Required for the Methodology Proposed
12.8 Originality and Innovation of the Project
12.9 Importance of the Project
12.10 Completion Time
12.11 First Phase
12.12 Second Phase
12.13 Third Phase
Bibliography
Chapter 13 ▪ MATLAB Source Code Strategy and Analysis for Generation of Time Step Set of Data
13.1 Portfolio Expected Exposure Data Generated by MATLAB
13.2 Detailed Analysis of the Part of Source Code from Grid Number 0 to Grid Number 1
13.3 Detailed Analysis of the Part of Source Code from Grid Number 0 to Grid Number 2
13.4 Detailed Analysis of the Part of Source Code from Grid Number 0 to Grid Number 3
13.5 Detailed Analysis of the Part of Source Code from Grid Number 0 to Grid Number 4
13.6 Detailed Analysis of the Part of Source Code from Grid Number 0 to Grid Number 5
13.7 Detailed Analysis of the Part of Source Code from Grid Number 0 to Grid Number 6
13.8 Detailed Analysis of the Part of Source Code from Grid Number 0 to Grid Number 7
13.9 Detailed Analysis of the Part of Source Code from Grid Number 0 to Grid Number 8
13.10 Detailed Analysis of the Part of Source Code from Grid Number 0 to Grid Number 9
13.11 Detailed Analysis of the Part of Source Code from Grid Number 0 to Grid Number 10
13.12 Detailed Analysis of the Part of Source Code from Grid Number 0 to Grid Number 11
13.13 Detailed Analysis of the Part of Source Code from Grid Number 0 to Grid Number 12
Bibliography
Chapter 14 ▪ Expected Exposure Visualization List of Java Code Packages
14.1 Java Expected Exposure Visualization Source Code Index Web Page
14.2 Java Code Package Estrazione
14.3 Java Code Package Grafica
14.4 Java Code Package Strutturedati
14.5 Java Code Package Utilità
Bibliograpy
Chapter 15 ▪ Expected Exposure Visualization List of UML Diagram
15.1 Expected Exposure Visualization List of MyEclipse War Folders
Bibliography
Chapter 16 ▪ Credit Models Using Google Cloud
16.1 Definition of the Software Used
16.2 Upload and Use MATLAB Files on the Cloud
16.3 Uploading the MyEclipse Java Project to the Google Cloud
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Tags: Giulio Carlone, Credit Risk
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