Risk-Neutral Distribution and Alternative Credit Exposure Modeling

Risk-Neutral Distribution and Alternative Credit Exposure Modeling

Master's

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Bibliographic Details
Main Author: SONG CHAORAN
Other Authors: STATISTICS & APPLIED PROBABILITY
Format: Theses and Dissertations
Language:English
Published: 2014
Subjects:
BKM method, Risk-neutral moments, Normal Inverse Gaussian, Credit Risk Exposure, Credit Value Adjustment, prudential valuation
Online Access:http://scholarbank.nus.edu.sg/handle/10635/52004
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Institution: National University of Singapore
Language: English
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spelling sg-nus-scholar.10635-520042015-01-06T07:35:56Z Risk-Neutral Distribution and Alternative Credit Exposure Modeling SONG CHAORAN STATISTICS & APPLIED PROBABILITY LIM KIAN GUAN CHEN YING BKM method, Risk-neutral moments, Normal Inverse Gaussian, Credit Risk Exposure, Credit Value Adjustment, prudential valuation Master's MASTER OF SCIENCE 2014-04-30T18:02:17Z 2014-04-30T18:02:17Z 2014-01-13 Thesis SONG CHAORAN (2014-01-13). Risk-Neutral Distribution and Alternative Credit Exposure Modeling. ScholarBank@NUS Repository. http://scholarbank.nus.edu.sg/handle/10635/52004 NOT_IN_WOS en
institution National University of Singapore
building NUS Library
country Singapore
collection ScholarBank@NUS
language English
topic BKM method, Risk-neutral moments, Normal Inverse Gaussian, Credit Risk Exposure, Credit Value Adjustment, prudential valuation
spellingShingle BKM method, Risk-neutral moments, Normal Inverse Gaussian, Credit Risk Exposure, Credit Value Adjustment, prudential valuation
SONG CHAORAN
Risk-Neutral Distribution and Alternative Credit Exposure Modeling
description Master's
author2 STATISTICS & APPLIED PROBABILITY
author_facet STATISTICS & APPLIED PROBABILITY
SONG CHAORAN
format Theses and Dissertations
author SONG CHAORAN
author_sort SONG CHAORAN
title Risk-Neutral Distribution and Alternative Credit Exposure Modeling
title_short Risk-Neutral Distribution and Alternative Credit Exposure Modeling
title_full Risk-Neutral Distribution and Alternative Credit Exposure Modeling
title_fullStr Risk-Neutral Distribution and Alternative Credit Exposure Modeling
title_full_unstemmed Risk-Neutral Distribution and Alternative Credit Exposure Modeling
title_sort risk-neutral distribution and alternative credit exposure modeling
publishDate 2014
url http://scholarbank.nus.edu.sg/handle/10635/52004
_version_ 1681083933194715136

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