Search Results - empirical ((algorithmics OR algorithmic) OR algorithms)

Credit securitizations and derivatives : challenges for the global markets

Table of Contents: “…Market Credit Risk Pricing -- Regulation -- Developments in Structured Finance Markets -- Impairments of Asset-Backed Securities and Outstanding Ratings -- Issuance of Asset-backed Securities and Outstanding Volume -- Global CDO Issuance and Outstanding Volume -- PART II CREDIT PORTFOLIO RISK MEASUREMENT -- Mortgage Credit Risk -- Five C's of Credit and Mortgage Credit Risk -- Determinants of Mortgage Default, Loss Given Default and Exposure at Default -- Determinants of Mortgage Default -- Determinants of Mortgage LGD -- Determinants of Mortgage EAD -- Modeling Methods for Default, LGD and EAD -- Model Risk Management -- Credit Portfolio Correlations and Uncertainty -- Introduction -- Gaussian and Semi-Gaussian Single Risk Factor Model -- Individual and Simultaneous Confidence Bounds and Intervals -- Confidence Intervals for Asset Correlations -- Confidence Intervals for Default and Survival Time Correlations -- Confidence Intervals for Default Correlations -- Confidence Intervals for Survival Time Correlations -- Credit Portfolio Correlations with Dynamic Leverage Ratios -- The Hui et al. (2007) Model -- The Method of Images for Constant Coefficients -- The Method of Images for Time-Varying Coefficients -- Modelling Default Correlations in a Two-Firm Model -- Default Correlations -- A Two-Firm Model with Dynamic Leverage Ratios -- Method of Images for Constant Coefficients -- Method of Images for Time-Varying Coefficients -- Alternative Methodologies for General Values -- Numerical Results -- Accuracy -- The Impact of Correlation between Two Firms -- The Impact of Different Credit Quality Paired Firms -- The Impact of Volatilities -- The Impact of Drift Levels -- The Impact of Initial Value of Leverage Ratio Levels -- Impact of Correlation between Firms and Interest Rates -- The Price of Credit-Linked Notes -- A Hierarchical Model of Tail-Dependent Asset Returns -- The Variance Compound Gamma Model -- Multivariate Process for Logarithmic Asset Returns -- Dependence Structure -- Sampling -- Copula Properties -- An Application Example -- Portfolio Setup -- Test Portfolios -- Parameter Setup -- Simulation Results -- Importance Sampling Algorithm -- Conclusions -- Appendix A: The VCG Probability Distribution Function Appendix B: HAC Representation for the VCG Framework -- Monte Carlo Methods for Portfolio Credit Risk -- Modeling Credit Portfolio Losses -- Risk Measures -- Modeling Dependency -- Estimating Risk Measures via Monte Carlo -- Crude Monte Carlo Estimators -- Importance Sampling -- Specific Models -- The Bernoulli Mixture Model -- Factor Models -- Copula Models -- Intensity Models -- An Example Point Process Model -- Appendix A: A Primer on Rare-event Simulation -- Efficiency -- Importance Sampling -- The Choice of g -- Adaptive Importance Sampling -- Importance Sampling for Stochastic Processes -- Credit Portfolio Risk and Diversification -- Introduction -- Model Setup -- Independent Asset Values -- Correlated Asset Values -- Large Portfolio Limit -- Correlated Diffusion -- Correlated GARCH Process -- Applications of the Structural Recovery Rate -- Conclusions -- PART III CREDIT PORTFOLIO RISK SECURITIZATION AND TRANCHING -- Differences in Tranching Methods: Some Results and Implications -- Defining a Tranche -- The Mathematics of Tranching -- PD-based Tranching -- EL-based Tranching -- The EL of a Tranche Necessarily Increases When Either the Attachment Point or the Detachment Point is Decreased -- Upper Bound on Tranche Expected LGD (LGDt) Assumption Given EL-based Tranches -- Skipping of Some Tranches in the EL-based Approach -- Global Structured Finance Rating -- Asset-Backed Securities -- The ABS Structure for the Experiment -- Cash Flow Modeling -- Modeling and Simulating Defaults -- Expected Loss Rating -- Global Sensitivity Analysis -- Elementary Effects -- Variance-based Method -- Global Sensitivity Analysis Results -- Uncertainty Analysis -- Sensitivity Analysis -- Global Rating -- PART IV CREDIT DERIVATIVES -- Analytic Dynamic Factor Copula Model -- Pricing Equations -- One-factor Copula Model -- Multi-period Factor Copula Models -- Calibration -- Dynamic Modeling of Credit Derivatives -- General Model Choice -- Modeling Option Prices -- Modeling Credit Risk -- Portfolio Credit Derivatives -- Modeling Asset Dynamics -- The Market Model -- The Asset-value Model -- Empirical Analysis -- Elementary Data -- Implied Dividends -- Market Dynamics -- Asset Value Model -- Tranche Pricing -- Out-of-time Application -- Pricing and Calibration in Market Models -- Basic notions -- The model -- Modeling Assumptions -- Absence of Arbitrage -- An affine specification -- Pricing -- Calibration -- Calibration Procedure -- Calibration Results -- Appendix A: Computations -- Counterparty Credit Risk and Clearing of Derivatives -- From the Perspective of an Industrial Corporate with a Focus on Commodity Markets -- Credit exposures in commodity business -- Settlement Exposure -- Performance Exposure -- Example of Fixed Price Deal with Performance Exposure -- Example of a Floating Price Deal with Performance Exposure -- General Remarks on Credit Exposure Concepts -- Ex Ante exposure-reducing techniques -- Payment Terms -- Material Adverse Change Clauses -- Master Agreements -- Netting -- Margining -- Close Out Exposure and Threshold -- Ex Ante risk-reducing techniques -- Credit Enhancements in General -- Parent Company Guarantees -- Letters of Credit -- Credit Insurance -- Clearing via a Central Counterparty -- Ex Post risk-reducing techniques -- Factoring -- Novation -- Risk-reducing Trades -- Hedging with CDS -- Hedging with Contingent-CDS -- Hedging with Puts on Equity -- Ex Post work out considerations -- Practical credit risk management and pricing Peculiarities of commodity markets -- Peculiarities of commodity related credit portfolios -- Credit Risk Capital for a commodity related portfolio measured with an extension of CreditMetrics -- CreditRisk+ study: applied to a commodity related credit portfolio -- CDS Industrial Sector Indices, Credit and Liquidity Risk -- The Data -- Methodology and Results -- Preliminary Analysis -- Common Factor Analysis -- Stability of Relations -- Risk Transfer and Pricing of Illiquid Assets with Loan CDS -- Shipping Market -- Loan Credit Default Swaps -- LCDS Pricing -- Modeling LCDS Under the Intensity-based Model -- Valuation Framework for LCDS -- The Structural Approach -- Credit Risk in Shipping Loans -- Valuation of LCDS on Shipping Loans -- Simulation Model -- Numerical Results -- Appendix A: Monte Carlo Parameterization PART V REGULATION -- Regulatory Capital Requirements for Securitizations -- Regulatory Approaches for Securitizations -- Ratings Based Approach (RBA) -- Supervisory Formula Approach (SFA) -- Standardized Approach (SA) -- Post-crisis Revisions to the Basel Framework -- Regulating OTC Derivatives -- The Wall Street Transparency and Accountability Part of the Dodd-Frank Act of 2010 -- Which Derivatives Will Be Affected? …”
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Informatics for Health by Randell, R.

Table of Contents: “…An Automatic Approach for Analyzing Treatment Effectiveness Based on Medication Hierarchy -- The Myocardial Infarction Case Study -- Evaluation of Machine Learning Methods to Predict Coronary Artery Disease Using Metabolomic Data -- Dermatology Disease Prediction Based on Two Step Cascade Genetic Algorithm Optimization of ANFIS Parameters -- Querying EHRs with a Semantic and Entity-Oriented Query Language -- Evaluation of the Terminology Coverage in the French Corpus LiSSa -- Linked Data Applications Through Ontology Based Data Access in Clinical Research -- Epidemiological Models Lacking Process Noise Can Be Overconfident -- Disentangling Prognostic and Predictive Biomarkers Through Mutual Information -- IntegrIT -- Towards Utilizing the Swedish National Health Information Exchange Platform for Clinical Research -- Introducing a Method for Transformation of Paper-Based Research Data into Concept-Based Representation with openEHR -- The P̀EARL' Data Warehouse: Initial Challenges Faced with Semantic and Syntactic Interoperability -- Combining Different Privacy-Preserving Record Linkage Methods for Hospital Admission Data -- Application of Correspondence Analysis to Graphically Investigate Associations Between Foods and Eating Locations -- Data Driven Quality Improvement of Health Professions Education: Design and Development of CLUE -- An Interactive Curriculum Data Visualization Tool -- Developing Healthcare Data Analytics APPs with Open Data Science Tools -- Fast and Efficient Feature Engineering for Multi-Cohort Analysis of EHR Data -- Development and Evaluation of a Case-Based Retrieval Service -- Learning Differentially Expressed Gene Pairs in Microarray Data -- Developing a Manually Annotated Corpus of Clinical Letters for Breast Cancer Patients on Routine Follow-Up -- Automated Diagnosis Coding with Combined Text Representations.…”
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Handbook of safety principles

Table of Contents: “…Goal Programming / Yan-Fu Li / Enrico Zio -- 23.3.4. Evolutionary Algorithms / Yan-Fu Li / Enrico Zio -- 23.4. Performance Measures / Yan-Fu Li / Enrico Zio -- 23.5. …”
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Statistical Disclosure Control. by Hundepool, Anco

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Sigma-Delta Converters. by De la Rosa, José M.

Table of Contents: “…6.3.1 Hardware Emulation of CT-Ms on an FPGA 257 -- 6.3.2 GPU-accelerated Computing of CT-Ms 258 -- 6.4 Using Multi-objective Evolutionary Algorithms to Optimize Ms 259 -- 6.4.1 Combining MOEA with SIMSIDES 261 -- 6.4.2 Applying MOEA and SIMSIDES to the Synthesis of CT-Ms 262 -- 6.5 Summary 269 -- References 269 -- 7 Electrical Design of ??…”
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Geophysical Data Analysis : MATLAB Edition. by Menke, William

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Statistical analysis in forensic science : evidential value of multivariate physicochemical data

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Analyzing neural time series data : theory and practice by Cohen, Mike X., 1979-

Table of Contents: “…What Is the Surface Laplacian? -- 22.2. Algorithms for Computing the Surface Laplacian for EEG Data -- 22.3. …”
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