Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms doc

... essential providers of credit protection, buying credit risk in order to obtain a competitive yield. They also use credit derivatives for credit risk management of their bond portfolios. Hedge funds invest in credit ... pricing of portfolio credit derivatives is being made, pricing capacities are still not where they were during the emergence of exotic options. W...

Ngày tải lên: 07/03/2014, 19:20

Ngày tải lên: 08/08/2012, 17:20

... grammar by means of a set of properties S C , let A C an assign- ment for the construction C, • P + = set of satisfied properties for A C • P − = set of violated properties for A C • N + : number of ... Const NP {Det, AP, N, Pro} (set of possible constituents of NP) In PG, each category of the grammar is de- scribed with a set of properties. A grammar is then made of a...

Ngày tải lên: 20/02/2014, 11:21

... extinction coefficient of the dimeric product of the reaction. This e 322 value was obtained from a plot of absorbance versus number of moles of hydrogen peroxide consumed in the HRP-catalyzed oxidation of 4, ... identity of the products was checked by comparison with the spectra of authentic samples. Yields of nitration products were estimated from the extinction coefficien...

Ngày tải lên: 16/03/2014, 16:20

... MalFGK 2 complex was unaffected by enzyme IIA Glc , Fig. 7. Location of epitopes and of residues putatively involved in MalT and enzyme IIA Glc . Space-fill representation of the model of monomeric E. coli ... (1990) Reg- ulation of the maltose transport system of Escherichia coli by the glucose-specific enzyme III of the phosphoenolpyruvate-sugar phosphotransferase system. Ch...

Ngày tải lên: 31/03/2014, 09:20

... This is the concept of survival of the fittest and natural selection described by Charles Darwin in On the Origin of Species by Means of Natural Selection (1859). Over a period of time and many ... sample of data points by taking a random sample of values of the independent variable appearing in the given expression. We then pair each value of the independent vari...

Ngày tải lên: 08/04/2014, 12:45

... is obtained by simply rounding off each of the fractional Z k to zero, thus giving a pat- tern of type 1 or 2 that can be reduced by the methods already discussed. Most of the algorithms ... collaboration of Professor Anthony Oettinger and of his other colleagues at the Harvard Computation Laboratory. semiautomatic synthesis of translation algorithms from empirica...

Ngày tải lên: 16/03/2014, 19:20

... nonlinear filtering. By the same token we derive the dynamics of the market price of traded credit derivatives. In Section 4 these results are then applied to the pricing and the he dging of non-traded credit derivatives. ... approach for modelling the dynamic evolution of a portfolio of credit risky securities. In our setup market prices of traded credit derivati...

Ngày tải lên: 29/03/2014, 03:21

... popularity of CreditManager ® and its methodology is due to a combination of factors: ease and documentation of the methodology, quality and user-friendliness of the software, the reputation of ... an assumed maturity of one month. Hence, the credit risk of the portfolio is expected to be low. The modified duration of the portfolio is low. The other portfolio ( Po...

Ngày tải lên: 16/02/2014, 10:20

... 99% quantile of the distribution of defaults implied by (16). Since the tail of the loss distribution is the key object of interest in credit portfolio management, a density plot of the estimated values ... the active management of credit portfolios under risk-return considerations. Moreover, given improved availability of data on credit losses, refined versions of cu...

Ngày tải lên: 15/03/2014, 04:20